The MKR devices I own have not overheated by themselves. The only one that has failed is the one I was using for large data flows. Not even sure it is due to overheating or a manufacturing flaw. Am in the process now of applying heatsinks to the processor and LoRa chip. Will see how that goes and report back.
You are right though, about not using the device if it is overheating with nothing connected but the power supply.