'burning' usually refers to the higher-end lights like metal halides and those lights that have similar output.
Photosynthetic creatures shed and reproduce their photosynthetic components according to the available light. You'll see corals sometimes exude a brown stringy goop when upset: these are zooxanthellae (zo-zan-THEL-ee), and this indicates a light-stressed coral.
These rocks contain lifeforms that depend on light for their little passengers to produce sugars that feed them. If exposed to too much light, unprepared, damage results, like leaving a guy who's lived in a cave and is very pale---out exposed to the tropic sun. Skin damage results.
So when you start up powerful lights, first of all, you may want to shield your new tank's life, by burning them only a half hour at first, and increasing the time they're on by fifteen minutes a day until they're on for 8 hours at a stretch. You can help, too, by putting a screen of sunshield fabric on a frame between them and the tank (don't put them next to the light, or they could catch fire!) You'll use that every time you change, say, mh bulbs, which need to be switched out every 6-8 months: mh doesn't look different at 6 months to your eyes, but it's starting to burn through its useful life, and algae will increase and corals will suffer from its change of spectrum.
So, yes, a good idea to go slowly as you break in your powerful lights---let the 'guy from the cave', ie, your rock, 'tan' slowly: they've been stored in dark places and need time to get used to light again. And don't let your water heat above 80 degrees, and not below 78. It's a narrow window, with all the pumps and lights running a full schedule, and before there are a lot of expensive and delicate specimens in there, best get that 'heat balance' steadied down. For future reference, coral and other desirable life starts bleaching and dying at 85 degrees, and dying of cold at 62. So start watching your temperature and get that problem tamed. You can damage rock by overheating it much faster (as in a few hours) faster than you can damage it by letting it cool down because---remember this!---chemistry runs faster in warm conditions than cold, and what goes wrong when it's too hot goes wrong faster.
NEVER trust a heater thermostat: like the pirate code, it's more a guideline than a rule. Maintain two thermometers, one in the sump, one in the tank, and develop the habit of feeling the glass as you pass, so you'll notice any change. Temperature is one of the tricksiest problems you will solve. It swings a bit every day and night, and getting it to hit the sweet area of the scale requires some work.
You only THINK there's nothing to do while you cycle, eh?
Another thing to remember forever: your rock and sand retain either a good stage, a too-hot state or a too-cold state longer than the water. They're kind of a buffer, and may help save your specimens by providing a cooldown or warmup influence in a disaster.
Lot to learn, eh?
But lights, radiation, and temperature are intertwined, and very important.
