Yes. As John says, the high specific heat capacity of cheese causes it to absorb more heat to raise its temperature than the crust does. If you do an experiment by heating a sample of it in an oven (say to about 300 degrees), you could observe that the crust reaches the temperature more quickly than the cheese. So, cheese takes a longer time to absorb heat to get itself to that temperature.
When you allow the pizza to cool down, the crust cools down. Because it doesn't have to absorb much heat energy to raise its temperature, it doesn't have to lose much heat energy to cool off either. The crust could also transfer enough heat to your fingers to cool it, without transferring enough to burn your fingers.
But, the cheese makes the pizza more effective. It cools very slowly. It also transfers heat more easily — i.e. conducts (as John says). So, whenever "OUCH" comes in your mouth or fingers, the cheese or the sauce has given a lot of heat (probably a burn) to your skin…!