I would like to keep it under 60C at load but Phenom II's do run a bit on the warm side. I also have a GTX 465 in the case so I'm sure that is increasing the ambient temperature and causing some heat dissipation issues.
I have a similar setup in one box and have never had a heat problem even though I only tossed in the cheap OEM fans the thing came with.

I know this is going to sound crazy, but when I was having to verify heat problems on some old (and now gone from the world entirely) kit I... taped up all the exhaust ports and timed timed the shutdown under differently loads. (I traced it to a bad fan. The thing would simply stop under load. I don't know why.) If it doesn't fail under such extreme conditions from heat, it isn't a heat problem.

My dad has this same board and he RMAed 3 of them before getting one that works. Strangely when he turns his on it also shuts off immediately but then it is fine after resetting and turning it back on.
I'm guessing that the RAM is not properly paired. Seriously, I've experienced the issue myself on an ASUS board. (I only buy ASUS after having never ending problems with MSI and Gigabyte.) The OEM I ordered the RAM from (as a pair) sent me two single sticks marked with the same specifications. Eventually I tracked it down to the RAM and then the BIOS expectations. (The chips both worked fine when just setup as two single sticks.)

That's going to depend entirely upon software installed in the system. If there's no temperature monitor running in the OS... Nope, no warning.
Several BIOS distributions will warn you about such an issue even if the machine has no operating system. As far as I know, absolutely every early Alienware laptop does this.

Soma