It's not the heat load that slows you down. If you are using them enough that you produce enough heat that you have to downclock, it's still a win because the instructions improved your throughput more than what you lost in clocks.
The problem with Intel's initial AVX-512 implementation was that they didn't clock down because of heat, they clocked down pre-emptively and substantially whenever the CPU executed even a single AVX-512 instruction, even if there was no added heat load, and stayed on the lower clocks for a long period. This worked fine any proper SIMD loads, but was crushing in any situation where there was just a handful of AVX-512 ops between long stretches, such as using an AVX-512 optimized version of some library function.