Backup verification canceled due to thermal pressure
Thermal pressure comes and goes. Unless your verification cannot complete after a week of attempts, I wouldn't worry about that specific error.

However, this is some cool technology to manage variable workloads on Mac hardware that integrates with Intel chipset power management for multiple core and variable clock rate CPU. If you don't mind using the command line - open terminal and type:

pmset -g thermlog


Then you can watch as you run some programs that use the CPU to see the various warnings come and go. Basically the OS will schedule the kernel_task to "soak" CPU and idle the system to keep the thermal heat generation from overwhelming the cooling method.

On my MacBook - there is no blower or fan, so the thermal throttling lets the conduction of heat from the CPU / GPU to move out to the frame. Sometimes I have to remember get my Mac up off a thick conformer / blanket (which insulates the case) or open the display when I run it attached to a USB-C display in closed clamshell mode. More air past the frame = better heat dissipation. The keyboard area can also let off a lot of heat when the closed screen (thin layer of glass and air - a nice greenhouse) is causing thermal pressure on the CPU during a movie render or long compile cycle that uses all the cores.

Other Macs with active cooling, the blowers will speed up in response to thermal events. Once they can no longer turn faster, the same CPU throttling will take place.