It’s very odd to think of something extremely hot but with almost no density, and therefore very little heat transfer.
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Then there are things like fusion reactors where the temperature is in the millions of degrees and the whole point of the design is to keep the heat in.
Edit: although interestingly in an electric arc, often the electrons have a higher kinetic energy (temperature) than the heavier ions and atoms in the plasma. It's a highly non-equilibrium situation. That plays into your "high temperature, slow transfer" thing quite nicely: even the atoms within the plasma don't reach the full temperature of the electrons.