ThinkPads are cool!

[kfzhu1229]

Well from my experiences with playing around with a 3.4Ghz overclock on a X9000, a beefier CPU especially with overclocks will make the VRM's run much hotter and your motherboard temperature can raise high enough for the fan to spin up more often and noisier.
You should be fine though if you have air conditioning in the summer. If you don't though, putting a heaty boy like this will significantly shorten the lifespan of the motherboard (and perhaps even the CPU itself).

[kfzhu1229]

Turns out it was a DOA. Tried multiple times. To no avail. Plugged the 720QM back in and it worked right away.

This W510 has the most recent BIOS version.

Will return it.

Bummer! 940XMs are hard to find!

Take a picture of the CPU.
I am afraid you might've gotten a fake! There are eBay sellers from Asia that take advantage of the long postage times to wait out of the 90 day return and refund period so that they can get away with selling you a fake.
how much did u pay?