That does seem to be the correct programming cable for the VEC controllers, although it is slightly different to the PI-400/VEC cable shown on the GM website:
According to the screenshot you attached, the USB cable has been correctly detected as
USB-SERIAL CH340 (COM5) at the bottom of the list:
Is this a screenshot of your PC hardware, or was this taken from the YouTube video that you watched?
The USB connector on the cable should
not get hot
(mine does not draw any measurable current from the USB port) so it may well be a short circuit on the circuit board inside the USB connector, in which case, I suggest that you contact your supplier and explain the problem to them.
Quickly try plugging it into the laptop while it is disconnected from the controller, as the PC should still recognise the Programming cable if it is working correctly.
However,
if it starts to get hot, unplug it immediately. If the USB connector only gets hot when the controller is connected to the other end of the cable, perhaps the USB programming cable is wired incorrectly, or there could be a fault within the controller itself.
Alan