Untyped direct damage is neither Flame Damage nor a Flame effect, jacksmack. You had it right the first time. However, like I said before, Burns are supposed to deal Flame damage. That's not me guessing at the rules as intended, that comes from actual discussions with Arcane Wonders. Read the entry for Burns in the Academy Warlock rulebook. That's what Burn is supposed to look like. The Arena version just hasn't been updated yet, but I am 100% positive that this is an oversight which will be corrected in the near future.
So, if you want to take advantage of this oversight as a rules lawyer, then technically yes Burn currently is written as doing untyped direct damage and would hurt everything including the Golem. However, I guarantee you that this is temporary and would recommend playing using the Burn entry from the Academy Warlock rules, making both the Golem and the Hellion immune to such damage, because that's what's going to end up being the rule.