Yes, heatstroke can kill but it's not a significant risk at normal room temperatures if common sense is applied.
Most photograhic situations aren't hot enough that the subject has the need to sweat profusely to survive, indeed these days most people normally use anti-perspirants to eliminate sweating completely with no ill-effects.
WatkinsPhoto said
As long as the paint is non toxic, I can't see how covering your skin with paint is any different from wearing a full latex catsuit.
Absolutely, any non-breathable fabric would cause worse problems since they would insulate more. Exercising in non-breathable waterproofs is quite unpleasant.
I think more serious concerns would be toxicity, eye harm and staining, again common sense can avoid issues and there are loads of tutorials on YouTube, but personally I'd recommend a good makeup artist experienced in this area, as you are likely to get much better results too.