How do digital potentiometer data sheets define maxmimum power disipation?
I believe the parameter you are looking for is the thermal resistance of the device. Most digital pots do not have a thermal pad so usually Junction to Ambient (θja) is specified. To use θja, you multiply θja by the power dissipated in the device to get the temperature increase in the device.
Lets use the AD5246 as an example. It has a θja of 340°C/W. If we were to apply 5V between the wiper terminal and terminal B and set the resistance to 1K, then the power would be \$5^2/1000=0.025W\$. Next we have multiply by θja: \$0.025*340=8.5\$. So the temperature of the device would increase by 8.5°C i.e. if the ambient temperature was 25°C the temperature of the device would be 33.5°C. This would be fine for the device.
Now lets say we change the resistance to 50instead of 1K. Lets follow the same calculations.  \$5^2/50=0.5W\$, \$0.5*340=161°C\$. This is a lot higher than before. For 25°C ambient, the temperature would be 186°C! That is really hot and would definitely burn out the device. The operating temperature of this device is only up to 125°C.
Just some other things to be aware of. You will also have to look up the maximum voltage and current the device can use. For example, the AD5246 can only use up to 5V and have 5mA go into the terminals. In my second example, the current going into the wiper would have been 100mA which would have gone over the maximum rated current anyway.
Digital pots are usually used for low power applications so do not expect to be able to put a ton of power through them like a mechanical pot