That's certainly true, but it's also true that the more relative wind you face (eg by going faster) the better the sweating will work in cooling you down. It's not the sweating itself that causes heatstroke and related conditions*, but the failure of the sweat to lower your body temperature sufficiently."The harder you work the more you will sweat..."
I expect that in any individual situation there's an optimal speed for maximum cooling, which best balances the heat generated by your muscles and the cooling effects of sweating, but I've no idea how to gauge that other than by how you feel.
[*it can cause dehydration, obviously, but that's relatively easy to overcome]