It’s normal. Some thumb drive heats a lot but it will continue to work.
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As said use docker but if you directly want to run a DNS and VPN servers then my recommadtion is Adguard Home instead of PiHole since it is rootless and doesn’t modify system And for VPN go with PiVPN script and setup wireguard. Once installed both handle automatic updates without running a single command.
Did you checked Zima board/blade?
All theses tech giants are either firing employees or increasing price and adding more subscriptions.
Last year my ISP forced v6 and disabled the option to set v4 only. I lost the Adgurd Home DNS configuration in all devices. But then learnt a few things and able to use internal ipv6 address for dns although still unable to configure ipv6 in Docker :/