The examples don't limit the framerate and as a single sprite is almost nothing for a modern GPU, you get a very high framerate that causes your GPU temperature to increase.
To solve the problems, you can try to:
1. set a framerate limit (sf::RenderWindow::SetFramerateLimit)
2. enable vertical synchronization (sf::RenderWindow::UseVerticalSync)
3. write your own framelimiting code (sf::Sleep)
I hope that helps.