Datasheet specifies minimum (worst case) unit conducts 1mA at just 324V.
Portugal is 230V, don't know about the specs but likely +6% well possible, i.e. max 243V. Peak voltage is sqrt(2)*243V = 340V, clearly over 324V.
1mA at 340V is 0.34W. This conduction should happen at low duty cycle though, so it likely doesn't explain all the dissipation you are seeing.
In any case, you have dimensioned the part wrong. To protect at 230V nominal power line from spikes, you must pick a part guaranteed to stay off with the maximum normal line voltage, which will be at least 240Vrms. The next part in series, rated at 250VAC, sounds about right, or even the next one at 275VAC.
Roasty MOV is a typical design failure. Yes, they are not precision devices, so you can only take the biggest edge of large spikes. More important is to choose the part so that it does not clamp under normal conditions because they have limited lifetime.
Now looking at the 275VAC rated part, max clamping voltage is 710V @ 25A, so it would be great if the TRIAC would be rated at 710V peak at least.
This may or may not be the reason. I would start by measuring the line RMS voltage.
Inductive kick may be another. Assuming the switches can handle it (i.e., are designed to switch motor loads; I didn't check), you can move the MOVs to the power input side.