if you fry the cpu it does leave signs in not on the cpu. the damage can be examined but like i said earlier it is a very expensive and time consuming process and Intel won't do it for an RMA. obviously if you send back a cpu that has a knife jammed in it, a lapped IHS and burn marks externally they'll refuse the RMA. if there are no obvious signs of tampering they'll approve it. one day they may implement some sort of logic and memory to keep track of clock settings but i doubt it. then the cpu could be examined inexpensively.
still, it comes down to morals. personally i don't quite feel comfortable with having even a mega corporation like Intel paying for my own mistakes. in the end though i'd probably still RMA a fried chip because i just can't afford to replace it.