This graph (PDF) shows how long it takes to scald (burn) someone's skin with water with time on the X axis and temperature on the Y axis. At 100°C scalding is instant. At 60°C it takes closer to five seconds. If you were being scalded you would know RIGHT AWAY. The University of Utah's burn center recommends that people with small children/elderly/people prone to seizures should turn down their water heaters to 50°C instead of the usual 70°C.
Nerve damage occurs with a third degree burn. A third degree burn involves the destruction of the epidermis and the dermis. The dermis contains hair follicles, nerves and other structures. At this point, the burn may not heal unless it receives medical attention. This type of burn also may requires skin grafts to heal properly.
What can happen when someone bathes (especially with soap) in water that is quite hot is that their skin can dry out. Hot water and soap can strip the skin of its natural protective oils. Dry, cracking skin can also be an entry point for germs.
Ultimately, assuming you aren't actually scalding yourself, the water temperature comes down to preference. Do just be aware, however, that you may need to use a moisturizer right after taking hot showers, especially in the winter.