There is no way for any Henge Docks product to cause your MacBook to overheat. Additionally, there are very real differences between being warm, being warm enough to cause the fans to ramp, and actually overheating. The fans in your computer should turn on if the device is under heavy load, regardless of whether it is software or hardware related.
As with all computers, a MacBook is equipped with sensors and will control its internal fans to keep the operating temperature within acceptable parameters. If you are concerned it is not, we recommend making an appointment with Apple to have the computer inspected. Please keep in mind that for a laptop to actually overheat it would need to be almost too hot to touch, at which point the sensors would simply power the device off to protect itself.
Please note: Any time you connect external devices to your MacBook, the computer will use more power and produce more heat as a result.