The leg-up is nothing more than a relaxation position, just as most humans cross one leg over the other when seated.
Because of restricted capillaries, the blood temperature in legs and feet of a bird is a lot lower than the rather warm body temp of 39+c. to prevent body-heat loss through the feet. To cool down all birds hyperventilate and to warm up they fluff their plumage out thereby increasing the insulating layer of air between the feathers and body.