According to a recent teardown of the Xperia Z5, we might have found our answer. It turns out that Sony has resorted to adding hardware to help deal with the overheating in the form of an extra heat pipe and thermal paste. Sony has used heat pipes before like in the Xperia Z2 and the Xperia Z3, but both models only featured a single heat pipe.
So by introducing a second heat pipe and thermal paste, it has allowed the phone to run cooler thanks to the additional hardware that helped dissipate the heat. That being said there is no official confirmation that the heat pipes are the cause of better heat management, but it would be logical to assume that it did play a role.
It should also be noted that the teardown was done on the Xperia Z5 Premium but there is also a teardown that reveals the Xperia Z5 has the same setup. We can only assume that the same is done on the Xperia Z5 Compact since it run on the Snapdragon 810 as well. Either way if overheating is a concern of yours, it seems that the Xperia Z5 family should not give you any issues.