It's kind of a known trope about our culture, but unfortunately we perhaps don't understand the true power or danger of extreme heat.
It’s also simply that when you’re on holiday you have limited time to do things, so you may do things at non-ideal times because of availability and to get them done.
But it’s also of course not as black & white as The English do X and ‘The Natives’ do Y.
While going for a walk in the afternoon sun might not be something everyone does, it’s not like all the ‘natives’ are having a ‘nice nap’ or ‘cool drink in a cafe’ during the hours from 12-4pm.
After all, MM’s wife and friends spent the entire lunchtime and afternoon at the beach. There were staff there - presumably locals - and we don’t know if MM’s friends are ‘natives’ too. They and all the staff and other tourists were presumably fine in the heat.
Obviously they would probably have been shaded most of the time, but let’s not forgot that MM had a hat and an umbrella, he wasn’t completely unprotected.