The knockoff Arduino Mega board actually has eight thermal vias on the copper pour around the regulator:

I sawed up a clip-on heatsink originally intended for a 14 pin DIP, bent it a bit, and epoxied it atop the regulator with enough of a blob to contact the copper pour:

That’s metal-filled JB Weld for good thermal conductivity and electrical insulation:

The blob affixing the heatsink to the crystal can was an oopsie, but won’t do any harm. It’s not clear the heatsink will do any good in that confined space, but those regulators lead a rough life and need all the help they can get.
The five stepper drivers sport HR4988SQ chips, rather than Allegro A4988 chips:

I’d rather see a knockoff than a counterfeit, although by now there’s really no way to tell if it’s a counterfeit knockoff. The Kynix datasheet looks like a direct rip from Allegro.
They now sport cute little heatsinks, which, for all I know, might help a bit:

The driver boards are slightly longer than the spacing mandated by the continuous socket strips under the three-in-a-row layout:

Introducing them to Mr Disk Sander (turned by hand) knocked off just enough to make ’em fit.