Nikos, how's the device doing now? Mine got a bit hot during an OS update but after that it was fine. My iPhone 6 used to get hot if I talked on it over 30 minutes or so, so that's maybe not native to just the 6s. I didn't get a temperature warning at any point though.
I had a little freezing/lag issue for about 24 hours after setting up device and then after updating OS. However that cleared on its own thankfully. I was offered a replacement as the phone was acting up in front of the Apple employee. The replacement they offered (She said it was new but a service unit, so came in that plain small white box) had a dead pixel very obvious dead center. It was the last unit, so I just took mine back. Glad I did.
For reference, mine is a TSMC.