There’s no way this would overheat.
The Magnus One, which is the smaller one in the video, measures 270.5mm x 126mm x 249mm (10.65in x 4.96in x 9.8in), and the highest configuration available is a Core Ultra 7 265 non-K - that’s only a 65W CPU. The highest GPU they offer is an RTX 5070, which is a 250W GPU.
Will it get warm? Absolutely! These are small systems, so their cooling capacity is smaller. But Zotac has purposefully given these systems low-power components in order to stay within their thermal envelopes. These are far less likely to have a “heating problem” as you say, compared to a custom built SFF system where somebody could make mistakes in selecting correct components and correct cooling devices.