The thing about a "molex" to SATA (the connector used is actually an AMP Industries MATE-N-LOK terminal housing, so calling it a "molex" is about as wrong as it gets) adapter is that the current through the terminal interface and wires just isn't much at all.
These type of adapters are not an issue in terms of heating the wires. Wiring accuracy, on the other hand, can be an issue when sourced from seriously cut-rate suppliers. Of course, a wiring error will pop the hard drive immediately, so your issue was likely the natural end of life of the HDD.
Where you run into problems is when you start "Y-ing" or adapting things like MB processor connections, or video card supply connectors. That's when you start melting or smoking insulation. If a PSU doesn't have enough of the proper connector housings supplied with it, it's time for a new PSU, and probably a bump-up in load capacity.