Small transformers are generally going to run hot, they lack the winding volume to get more thicker wire in, so the resistive losses are high, and limited lamination space means the core runs at higher magnetisation, and thus higher losses. 20C or so above ambient not a problem, you would find most are specified for operation up to 110C surface temperature, with class H insulation allowing 130C deep in the windings.
Capacitor will be conduced heat from the regulator, making life shorter, and you can fix in one of three methods. Replace with 105C version, or put a bigger heatsink on the regulator, so it runs cooler, or just ignore it, and accept the capacitor life will be lower than running at room temperature.