Open Activity Monitor and sort the processes out by CPU usage, just to be sure that both are running exactly the same stuff. If it turns out that both are indeed identical in config (HW & SW), AND "recent" is 14 days or less, take the hot one back for refund and get a good one instead.
NO, "reapplying" thermal grease on a Retina sounds like a surefire way of destroying it. Many critical components are glued on for support and lifting the logic board off to get to the heatsinks where the goo goes is pretty hairy if not impossible. Visit www.ifixit.com in their repair section, where they have several Retina teardowns so you can see what I mean.
Besides whatever insights the Apple techs may offer, one surefire way of ruling out the software as a cause would be by cloning the good unit into the bad one. Quickest way is via a Thunderbolt cable, though that will set you back by about $40.
First start up the bad Retina in Target Disk Mode: http://support.apple.com/kb/HT1661 (we're substituting the Firewire cable with the Thunderbolt). Ensure that the bad Mac's drive shows up in the good Mac's desktop.
Now reboot the good Mac into Recovey Mode by holding down Command R prior to the chime. Go past the languages screen and choose disk repair (bottom option). Make sure both drives, the good Mac's internal and the bad Mac's thru the Thunderbolt link, are visible.
The fun starts here. Select the Macintosh HD volume on the bad Mac's drive and Erase it to ensure no crud remains. Click on the Restore tab, choose the good Mac's Macintosh HD volume as the source and the just erased bad Mac's volume as the destination. Click Restore. Let it finish. When done, the bad Mac's drive will contain an exact copy of the contents of the good Mac's drive.
Quit and shut the good Mac off. Shut the bad Mac off (press power button). Disconnect. Start 'em up and test.