Ah yes, this is a known issue.
Even with the old Pi 1 B+ there is some thermal leak from the CPU into the temperature sensors, we've even seen student experiments (which were run on board the ISS) where the they attempted to calibrate out the thermal leak. Have a look here
for an example.
It's actually a design flaw with the Sense HAT, the top and bottom fill of the PCB should have been pulled back around the sensor packages to mitigate heat leaking into the sensors. But because we were making the boards in a hurry, due to Tim Peake's launch schedule, we made a mistake with it. Consequently, because the units that went to space have the fault, we thought everyone else needs to get the fault too. Mainly so everyone gets the exact same thing
which is on the ISS.