I have used the Keggle as a mash tun. I did use a Banjo Burner to heat the water to the specific temp I needed, so I guess I did direct heat to the keggle. It worked well though.
It holds heat a lot better when it's nearly full for big beers or 10 gallons batches but I wouldn't leave an uninsulated keg alone for a 60 minute mash.