For the most part, games only put a few cores (2-8) under any sort of load. In this scenario the CPU will automatically extract the best possible performance by increasing CPU voltage anywhere from 1.35v-1.475v which allows the highest possible CPU frequency, which results in better gaming performance. PBO/Curve optimiser can be enabled and tuned which can improve on this default behaviour further, depending on thermal and power headroom available.
An all core overclock might require less voltage based on your example, 1.125v for 4.2ghz, but it is also running at a much lower CPU frequency. This will give you worse gaming performance as those few cores mentioned above are now not running at their highest possible frequency.
The temperature metric will be reporting the highest CPU core temperature (out of all available cores), so under a gaming load with a higher voltage/frequency you should expect to see a higher peak temperature on one or more CPU cores. Remember, that metric is not reporting the temperature for all of the CPU cores, it just reports the highest. If you use HWINFO64, you will be able to monitor this yourself. Example below: