I've had that happen with 3B's. It appears that a sketchy power supply can actually cause more heating issues. Also had supplies that should have been really good that could not keep the power alert from appearing, even if they were rated for more than enough amps. I've had Pi's that gave power alerts even when it wasn't drawing that much power, and the voltage looked good.
I wonder if your temperature sensor could be damaged? Feel the chip. Is it actually getting hot? If you see the alert, but the die dosen't feel hot, it's a false alarm and something was probably damaged from the factory. The Pi chips get hot to the touch without being overheated. It's common for them to run in the upper 50's and lower 60's. That's between 145 and 170 for us in the US.