If the heating is still present if you exit EmulationStation, then the problem is somewhere else - just exit EmulationStation and leave the system to run for a while.

Is the problem with the theme? Or because I'm using Retropie 4.3?

I don't think the version has any influence, but why use such an old version ? Do you have anything running in the background besides EmulationStation (music scripts, input handling scripts) ?

Did you do any soldering/modifications on the Pi ?