Update: My iPhone 15 pro max works fantastic - it took about 1 week to fix the overheating issue.
That's because I realized it's due to a lot of background activity, so I left the phone on charge overnight with WiFi on, and explicitly went through all icould images, so they'd all start downloading, and also everything else that needs to get done during initial setup.
Once it's done with all that - and this can take a long time due to the way it's only doing it when there is a demand - for example it left my photos on iCloud until I scrolled through them all, things like that - once it's done, everything is great.
I just used it to navigate on the bike, in full sunlight, GPS on, Maps on, everything worked totally fine - if anything this gets less hot than my previous iPhone.
Can we please get this answer to be accepted, since everyone has the issue, and they don't necessarily scroll down to where all the answers are that say you have to wait 2 weeks.
If it still overheats after 2 weeks, you probably actually have a bad phone. But my guess is, that's not a lot of people.