That is a very good question. The source I have attached talks about the photosphere, which is considered to be the "surface" of the sun, and attaches a temperature of about 5800 degrees Celsius to it. That is fifty-eight times the boiling point of water! Water boils at one hundred degrees Celsius, which is quite hot; if you have ever had boiling water spatter on you, you have experienced this amout of heat transfer.
The only logical explanation I can think of would be similar to what happens in Earths thermosphere, the most outward layer of Earths atmosphere. This is the hottest layer of Earths atmosphere, but due to the fact there are so few air molecules flying around to deliver this tremendous heat, the likelihood you would be hit by one is slim to none. Perhaps this is the case on the sun, the lack of density of particles available to transfer the tremendous amount of heat being generated by the sun.
thank you for your answer. And you are exactly correct, heat transfer or the lack of, is the key...