Let's install this great app [https://www.tunabellysoftware.com/tgpro/|TG Pro] you'll want the full version here to get the diagnostics.
It will allow you to see what's failing as best as you can as the onboard diagnostics don't work any more on this series - Thanks! Apple!
Post a snapshot making sure you get all of the sensors (slide the slider down to see the last one) and post it here for us to see [guide|21499]
As to why your system is so slow under macOS and not under Windows has to do with the higher integration macOS has on this system. Windows doesn't offer tight integration so somethings are a bit different. Here your SMC logic is seeing a failure and to prevent you from damaging your system it lowers the CPU's clocking and ramps up the fan.
So we need to see what SMC is encountering the tool I would have used is the built-in diagnostics but Apple broke it!
If you restart your system pressing the ***D*** key you would have entered it and you should have gotten an error code.
Reference: [https://support.apple.com/en-us/HT201255|Mac startup key combinations]