Microgels are soft microparticles that often exhibit thermoresponsiveness and feature a transformation at a critical temperature, referred to as the volume phase transition temperature. Whether this transformation occurs as a smooth or as a discontinuous one is still a matter of debate. This question can be addressed by studying individual microgels trapped in optical tweezers. For this aim, composite particles are obtained by decorating  Poly-N-isopropylacrylamide (pNIPAM) microgels with iron oxide nanocubes. These composites become self-heating when illuminated by the infrared trapping laser, performing hot Brownian motion within the trap. Above a certain laser power, a single decorated microgel features a volume phase transition that is discontinuous, while the usual continuous sigmoidal-like dependence is recovered after averaging over different microgels. The collective sigmoidal behavior enables the application of a power-to-temperature calibration and provides the effective drag coefficient of the self-heating microgels, thus establishing these composite particles as potential micro-thermometers and micro-heaters. Moreover, the self-heating microgels also exhibit an unexpected and intriguing bistability behavior above the critical temperature, probably due to partial collapses of the microgel. These results set the stage for further studies and the development of applications based on the hot Brownian motion of soft particles.