Thunderbolt to VGA connector makes my MacBook Pro Retina very hot
Well your macbook is simply utilizing the nvidia video card and that produces more heat.  Since you are running Windows it may not be using resources as efficiently as your MacOS.  

Your macbook typically runs off the onboard video card and switches to the hotter running nvidia for intensive apps/games.

There are many posts regarding macs running hot using windows:
http://forums.macrumors.com/showthread.php?t=883774