Why eyes don't get heated while converging sunlight into retina?
If you look straight at the sun, you do burn your retina, in the same sense as you get burnt by contact to a hot surface: living tissue is full of water, so the burning process does not look the same as for dry paper e.g., and the harm will be done long before combustion.

To go a  little further, the first layer of retina in vertebrates is made of so-called Muller cells, which conduct the light as optical fibres do to the photoreceptor cells, but it has also been argued that they can in some measure filter too strong light in order to protect photoreceptors. See http://www.pnas.org/content/104/20/8287.full

These cells are also strongly vascularised, which allows to regulate its temperature. You can read http://creation.com/mueller-cells-backwardly-wired-retina-v-dawkins