I set up an iPhone 15 Pro Max Saturday evening and have noticed it is running hot. I thought maybe it was due to the initial data transfer/indexing but it still continues. It may be worse with charging or using the backlight on high - but the biggest issue seems to be if it is under a pillow, which may not be the smartest thing but I have long done it with other phones with no issue.
I don’t have a new iPhone 15 Pro Max (as a matter of fact, this exact issue is holding me back) but it could conceivably be that with the new A17 chip Apple has deployed more background processes in order to do whoever knows what and that’s causing the additional heating.
Most probable course of action, Apple will release a iOS update to tackle that.