Any electronic device that is working will produce heat. When voltage is stepped down that unused energy needs to go somewhere. The unused every turns to heat. When your charging your phone the charger gets hot. If your Roku isn’t popping up a message then don’t worry. I highly doubt it’s so hot you can’t touch it. My Stick gets warm but not hot.
@MilesT I debunked your theory. If the Express gets hot due to its small size then the Stick should be boiling. All electronic devices will get hot when used. It’s basic thermodynamics. My laptop is so hot after hours of using it I literally cannot place it on my lap. Doesn’t mean there’s anything wrong with it? No. It’s cause I’ve been using it
Thermal dissipation is not that simple, it is not just size.
Layout of electronics in the device, different components, different casing shape/materials, and exterior air flow (likely better for stick) will make a difference to external temp.
Don't forget recent sticks move part of the electronics into the cable, which I would suspect has an thermal benefit.
Strictly comparative measurement is hard, needs careful attention to detail to eliminate variables, but I stand by my assertion that Expresses tend to run hotter until I see detailed experimental measurement.