Arduino mega 2560 Stacked with Ethernet/SD card Shield Heat up
the heat in the "pain" level when I touch it, no burning IC odor. Maybe it's because I unplug it immediately after short use? IDK.
  So I think the ICSP has a defect? or does it? Is it supposed to be like this and I'm just being paranoid?


Well you're right in being a bit paranoid. And temperature building up is very likely to mean you've got a short somewhere, it might be a bad solder or a component that fails (like a cap that conducts).

So you've got to isolate the issue:


Isolate the faulty board: whichever board is getting hot, it might be that one that has a failure or the other one ruining it


you need to try the shield with another arduino (whatever version it is) and see if the issue is replicating
then you need to try the arduino you were using with another shield running on ICSP (like another ethernet shield, or an SDCard shield), which will confirm the hypothesis that only one component of the two is failing.

Once you've isolated the board, you need to isolate the component.


you first have to isolate which component is building up heat. 
If you've got access to a thermal camera, it's a good idea to use it. 
If not: start locating the area where heat is building with your finger, and then test each component of the area with a thermometer (like the ones you plug on a multimeter, or simply a "meat" thermometer for cooking).

Once you've isolated the component, then look it up on the schematics and layout, and lookup all connected components. Either that component or one on the track is failing, or there's a short on that track.


If the solution is not obvious, you can come back on Stack Exchange (get on the electronics QA site with your results), and some EE expert will help you find out what's wrong!

HTH