Yes, the current is limited (depending on the individual device, the operating voltage, and the temperature). The output devices are just MOSFETs, and they have a sort of constant-current characteristic when shorted.
No, you cannot depend on this limit to remain within the "absolute maximum" data sheet limits. Those numbers describe what YOU must guarantee with YOUR circuit in order to avoid possibly damaging the chip (they are NOT recommended values- they are "not to exceed" values).
There is no "thermal protection" in a PIC.
OTOH, a brief short of a single I/O pin to some voltage between 0V and Vdd is extremely unlikely to damage a PIC, and for a hobby type application you should worry more about ESD and such like.