Heat will not be an issue, provided the dock provides a heatsink for the SSD stick. Nothing else will get hot, even if the dock does not provide a proper heatsink.
the device you specified is a USB-C dock. Drives placed inside it will be limited to USB-3 10 G bits/sec, about 1,000 M bytes/sec. There are SSD devices available today as fast as the internal drive in a Mac studio, where the DEVICE can run as high as 6,000 M Bytes/sec.
But you can't get data inside that Mac that fast, because at this writing all but a few peripheral devices are limited.
if you used a ThunderBolt-3 Dock, the speed possible would be up to about 2,500 M Bytes/sec
External drives provide an additional Drive, and you would need to decide what files go where. if editing video, best results are obtained by having the source drive and destination drive be physically different drives, so as not to complete with each other.
You also need a way to make a backup copy of all these files, but its should be large (suggested 2.5 times what you need to back up) and cheap. Time machine gets no benefit from FAST, because it is working at low priority in the background. so older technology SATA drives are usually the 'winners' of this 'race' because of cost.
Because most external drives are widely compatible, and you can use MANY drives simultaneously with impunity, it is hard to make a mistake. if not large enough, add more. If not fast enough, add more and faster.