When your CPU shuts down with the message"CPU shut down due to thermal event" it may have the following reasons:Faulty capacitors in the motherboard can overheat the CPU and system may shutdown as a safety procedure. The motherboard may have a shorted connection due to expanding or electrolyte leaking from the capacitors.
The mother board may need to be replaced in the event the capacitor could not be identified or replaced.
If the capacitors are fine you can look at both the power supply fan and the processor fan. Dell sometimes suggests to reseat the CPU fan connection on the motherboard to fix the thermal event problem. Sometimes the heat sink fan malfunctions. The heatsink fan may be needs to be replaced to provide adquate cooling to the processor.