Why transformer is heating without load
The transformer is relying on the magnetic field in the transformer core to limit the flow of current.

If you took away the core, and connected the winding directly to your 220V supply, then it would rapidly burn out, as the inductance is not enough to limit the current flow.

50Hz (and 60Hz) transformers normally use a laminated iron core.  These are made of sheets of steel, with an insulating lacquer between them to stop eddy currents from flowing.  Adding the iron core creates a strong magnetic field, which opposes the current flow through the transformer primary.

High frequency transformers use a different core material, often ferrite (a ceramic that contains a lot of iron).  These cannot be magnetized as strongly as iron.  So when connected to a 50Hz supply, the core "saturates" - it becomes as strongly magnetized as it can be.  The magnetic field isn't enough to limit the current through the primary, and the transformer overheats.