Your analysis oversimplifies a few things, but works out more or less correctly in the end. Just for general edification, I'll point out a couple things.
First, Rds isn't a fixed number, it varies with Vgs, temperature, and current. Figure 1 of the datasheet shows Vds vs. Ids for various values of Vgs. The reciprocal of the slope of this curve at a given current value is Rds.
For Vgs of 5V, the graph doesn't show anything for Ids = 2A, but we can extrapolate. Picking two points on the Vgs = 5V curve, we get a slope of 30 amps per volt, or (phrasing another way) an effective Rds of 33 mOhm.
Note that this assumes a junction temperature of 25C. From figure 2, we can see that at low currents, a hotter junction actually results in an even lower voltage for a given current, translating to a lower Rds. If you were running in a sub-zero ambient (say, equipment that lived outdoors in February in Moose Jaw), your Rds would be higher. But let's assume you're indoors in standard room temperatures.
So two amps RMS through 33 mOhm dissipates 132 mW of power, P = I^2 * R. .132W x 62.5 K/W gives a junction rise above ambient of 8.25K, or 14.85F. (1K = 1.8F) You might notice it get a little warmer to the touch, but that's it.
Max operating junction temperature is listed as 175C, so as long as your ambient is below 166.75C, you'll be fine thermally. If your ambient is higher than that, you're doing something either wrong or awesome.
SMI is generated for hardware faults. As most communication between the CPU and other components is packet-based, faults can be signalled using error packets, and the SMI is then generated internally. A dedicated pin exists if there is an interface that is not packet-based that needs to signal hardware faults that may be recoverable -- typically that means a memory interface.
SCI is an implementation detail of ACPI. The ACPI virtual machine has read and write access to hardware, but no dedicated "enter system management mode" instruction, so there is a system controller that provides a register that will trigger an SCI when written to. The BIOS sets up an appropriate handler and provides wrapper code in ACPI AML for those functions that are handled outside the OS context (mostly, suspend/resume/reset/poweroff). From the OS point of view, suspending the computer is writing a value to a "suspend controller". If the controller is implemented inside the CPU, there is no need to have a physical pin here either.
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Besides clock speed, keep in mind that in a real "big" CPU (one that has caches, a MMU, TLBs, pipelined execution, SIMD, etc) another important factor of how much heat is generated would be how well the instruction flow utilizes the available CPU resources. If you run a program that is memory-intensive, most of the time the CPU would be just starving for data, doing nothing, so the heat produced would be relatively low. A purely computation code with tight loops would heat more. Even more heat could be generated with tightly optimized code that incurs almost no branch mispredictions, uses the SIMD units intensively, makes optimal use of the caches and so forth.
There are programs specifically designed to operate the CPU in this mode - stressing it as much as possible, Prime95 being a prominent example for the PC.
In fact, if a PC already runs Prime95 on all available CPU cores, and then you concurrently start another CPU-intensive application (e.g., 3D rendering), you'd notice that the CPU cools down. This is because it has to timeshare the very heavy Prime95 code (that "lights up all the transistors") with the relatively lower-demand rendering code (which likely has a lot of cache misses and branch mispredictions - those allow the CPU to stop for a while and cool down).
Another thing you should factor in is that usually each CPU has a table with allowable clock speeds, and core voltages associated with each speed. Lower clocks are also matched with lower voltage, as the manufacturer has determined that the CPU will be stable at that voltage. Power consumption varies roughly linearly with clock speed, but quadratically with voltage.