So, I wrote GoPro and I got a reply from them in about 24 hours or so, as promised. Apparently, it is a good idea to use the skeleton doors for the GoPro Hero 2, if there is no risk of exposure to water/rain.
Update for Case #318175 - "Heat warning?"Hi Chandra
'HOT' or a thermometer symbol will be displayed whenever the camera's processor gets over it's operating temperature limit of 125º.
What conditions were you using the camera in?
Was it directly in the sun with the waterproof housing?
Please describe more of the situation in order for me to further assist you.
The camera does have insulation which should protect the internals of the camera. Please remove the battery and let it cool down, reformat the card and it should have no problems in the future.
I am very happy to hear that GoPro have a safety mechanism, which turns off the Hero 2, should it get past 125 degrees. Something to keep in mind, especially if you live in a place like North Texas, where it gets hotter than hell.