To answer the last question first, techtiger1, those are not BaneBots motors, but rather Fisher-Price motors. At any rate, the heatsinks are available
from this supplier. Many will tell you to put cooling fans, grease, and whatever else on them as well, but we've had good luck with them just clipped on with decent space around them.
Squirrel, yes, that's why. There ends up being a 900:1 reduction by the time everything's said and done in this multistage gear and singlestage chain reduction... so I'm guessing you can kind of see where all that torque/stress comes from.
-q