Some people who have just mounted the motherboard directly and not used a PC case have reported heat issues. This is for a couple of reasons. First, most of these people don't put a fan across their motherboard like it would be if it were still in the case. Secondly, you don't get channeled airflow like you would in a PC case. That being said, if you supply enough fans, it shouldn't be a problem.
For what it's worth, I've done it both ways.