That is just the point.
Convection and evaporation happens even on the large gravitational objects like the stars, therefore it also happens on smaller objects like the planets.
The evaporation from the sun is called Solar Wind.
From Spaceweather.com: Solar wind speed is 437.1 km/sec. Updated today at 1926 UT.
Evaporation causes cooling.
Even if the cooling effect is insignificant in a short time scale, the effect should be understood and taken into consideration by the people that study such things as global warming and cooling.
Don't you think?