No, at idle they should be the same. There are some claims that Vega may actually be cooler (as in consume less energy) at some tasks, like driving an external monitor that Apple hardwired to it and forces its use. Vega will be hotter/louder at full load.
I did a a 2 min CPU stress test of the i9 with Vega 20 enabled (Connected to the Ultrafine 5K Display). It remains stable at 3.30 ghz.
I guess they solved the issues seen on the 560x.