I've noticed that my IKEA Lunnom LED 0.9W LED filament lamp on my computer table lamp, don't heats at all, despite it have helium or helium/oxygen to cool the LEDs and helium is a very heat conductive gas.
Why this is?

The 0.7W (assume the 0.2W is emitted as light) is simply just not that much of heat to cause any significant warmup.
The good cooling mixture in the bulb means there is small difference between filament vs bulb surface temperature, but has no effect on the surface temperature at all.
The surface temperature is always dictated by the power dissipation, air circulation around and surface of the bulb, nothing else.

I don't know from where came a myth that the bulb surface temperature is somehow related to the internal gas cooling ability. That is just a plain nonsense.
Why should it? The power in the filament has the only possible way to go: From theLEED chips to the filament mass, from the filaments to the inner gas, from the inner gas to the glass and from the glass to the air. Each transition has its thermal resistance, all in "series", so the flow is the same through each of them.
Once the heat flow (aka power) is a given, the temperature drop across each interface is dictated only by that interface.
It is just the total temperature difference (LED chips vs ambient air), which is sum of all of them. But externally you may observe only the last one - the bulb surface vs ambient air. And that remains the same, whether some lousy nmaker keeps just air in the bulb so run his filament scorching hot, or if someone else uses good heat carrying mixture, so has filaments cold as the result. But the bulb surface is the same temperature in both cases (assuming it is the same shape and size).