On the example of a free massless and conformally coupled scalar field, it is argued that in quantum field theory in curved spacetimes with time-like Killing field, the corresponding KMS states (generalized Gibbs ensembles) at parameter $\beta>0$ need not possess a definite temperature in the sense of the zeroth law. In fact, these states, although passive in the sense of the second law, are not always in local thermal equilibrium (LTE). A criterion characterizing LTE states with sharp local temperature is discussed. Moreover, a proposal is made for fixing the renormalization freedom of composite fields which serve as "thermal observables" and a new definition of the thermal energy of LTE states is introduced. Based on these results a general relation between the local temperature and the parameter \beta is established for KMS states in (Anti) de Sitter spacetime.