For the most part relays and fuse boxes do stay pretty cool, unless you run some serious voltage through them, but I think you should be fine with the fuse panel you got.
Although it would hurt to put a vent on it, maybe just a 4mm slit at the top along the length of the box, but you wouldn't REALLY have to if you don't want to...
16 fuses in a VW.... I wouldn't worry about it!
