To answer your question, I've never had to repair fire damage from a
foglight on any Malibu out of the hundreds I've worked on. That circuit is
fused and controlled by a relay. Its unlikely that it would cause a fire and
the fuse not blow from a short. Unless the bulb melted the housing some sort
of way. The reasoning that the dealership needs the old part is because GM
requires us to turn in the old parts as part of the payment process from GM
to the dealership. If GM calls for the part to be returned so that they can
inspect it for product defectiveness, and the dealership does not have it to
send to them because you "kicked it away" GM has every right to refuse to
pay for the repair and the dealership would be stuck with the bill. Besides
it would help the technician to determine the root cause of the problem.
What if they put a brand new housing on there for you and the new one burns
up because they couldn't determine what the cause was? The decision to
repair that is entirely up to the dealership being that they have no
warranty part to turn into GM and take the chance for a chargeback.  I'd be
a nice as possible to them and don't go in pounding on the desk {not saying
that you did} and ask if they would take care of it for you nicely.
Especially if you bought the vehicle from that particular dealership, that
tends to carry some weight with most dealerships. They are not required to
repair that under warranty if they can't prove product defect.