This is due to the engine case and associated components heating the thermocouple up via convection (heating the air then heating the probe), radiation, and conduction (the probe is cooled by air moving over it but then the hot metal conducts heat back into it).

I see, however it is, the sounds are not that much different from real life, it comes very close. Great job, at this point I'll delete the video.

@voice-of-reason Thanks a lot for your valuable answer. I've just finished my second flight since the latest MSFS2020 update and I'm not experiencing this issue anymore. IMO, It's doesn't maky sense a MSFS update to solve this specific issue, but it seems okay for me now. Have a good weekend!