Eu encontrei este artigo muito informativo da empresa Crown Prince, um enlatador e distribuidor de anchovas. Aparentemente, o motivo do armazenamento a frio tem a ver com o processo de preservação e qualidade do produto:
Anchovies are a "semi-preserved" product. This means that they are not sterilized by either cooking or pasteurization. Instead, anchovies are preserved by a salting process whereby salt is used to control bacteria which would otherwise render a canned product unusable.
The anchovies remain in the salt until just before canning. Therefore, suppliers do not pack ahead of order. Our anchovies are not packed until just prior to shipment.
Because they are "semi-preserved", anchovies will eventually break down and become mushy. The cans may even puff. This occurs because there is a non-harmful bacteria that survives in salt. This bacteria can be inconvenient because when it grows it can eventually form a gas which will puff the can. We repeat that this is not harmful to humans, but is most inconvenient.
Heat will hasten the growth of the non-harmful bacteria. Anchovies should always be stored in a cool place, preferably in the refrigerator. Their shelf life when refrigerated is about 18 months. If you do not plan on consuming the anchovies or paste immediately after purchasing, we recommend storing them in the refrigerator. It is important to note that puffed anchovy cans are not indicative of a faulty canning procedure, but rather of improper storage subsequent to canning.
Occasionally, customers complain of a white substance in the can. Often, salt collects around the edges of the fish. This is harmless, as it is only salt.