That wouldn't be a concern. TDP is measured with the GPU as well. You can put an 84W CPU in there without any cooling issues, and stock is 35W.
It would be a concern if the tiny HSF is rated for say, 40W before the CPU/GPU start throttling. Enabling the iGPU would basically cause either the iGPU and/or the CPU to start throttling much sooner rather than letting just the CPU use the entire 40W power envelope.
This is common phenomena in all of these new Intel small form factor devices, the latest NUC for example performs worst with Broadwell HD6100 despite better theoretical specs compared to last-gen BRIX 4770R because the power envelope on the NUC is lower than the BRIX.
You can see similar trade-offs and design decisions being made here, resulting in some surprising performance results.