I was actually commenting about this to my son the other day. I figured this was just a great feature that worked with the auto climate control. It's nice and warm when you first start your truck and it's cold in the cabin, but once the cabin warms up, the steering wheel cools down, because it's not really needed anymore. I actually like that it does that, because a hot steering wheel in a warm cabin would make my hands sweat while driving. It's my opinion that this is a feature and there's nothing wrong.
I don't know if any of you have noticed, but the heated seats are the same way. They turn on automatically if the temp is below 40 and are on high, but after driving for a while and the temp of the cabin rises, the heated seats drop down to low by themselves.