A series of High-Cycle Fatigue (HCF) criteria for polycrystalline materials is based on a multiscale interpretation, proposed initially by Dang Van, in which the principal concepts are a two scales model and a shakedown condition. The purpose of this Note is to extend the study of the different dissipative regimes during cyclic loading within this framework by using a self consistent homogenization scheme in coupled thermoplasticity. It is shown that the Sachs and Lin-Taylor schemes are not able to represent the thermal evolutions observed during fatigue tests.