It seems that Radeon is taking a lot of power even on idle screen and with low load. This increases temperature which in turn creates environment where throttling on CPU happens so not only Macbook gets hot but also it’s much slower.
After research I found out that I can either work in clamshell mode (and I’d rather grew fond of having MBP + external monitor) or find a way to mitigate it.
I decided to opt for eGPU which solved issue immediately. MacOS feel snappier, I don’t remember last time when fans started and it’s cool to touch. Not an exactly cheap solution for a i9 MBP but, eh, you do what you have to do.
eGPU brings its own share of problems to MacOS (like ejecting it is not a simple thing - I always have to resort to doing this manually from console) and pulling the cable will kernel panic, but the upside is that I get quite nice connector hub and photo editing software works much nicer.
I do think it’s a shame that Apple even designed MBP like that. You buy beefed out MBP (5600M wasn’t even available when I was buying it - and supposedly it fixes this issue) and it can’t handle so complex task as displaying the second monitor without launching the rocket engine.