Two separate issues here. First a villain at a temple. The value of it is 5 He has had 3 successes so there are 2'markers left. The danger number is 5. He rolls and gets 2 successes.
Will he roll for collapse immediately?
Second question. Will nazi villains be protected by henchmen even for wounds due to temple collapse?
1. This is come up before, and I am pretty sure this is the official ruling: If you are in a situation where the Villain's roll would affect more than just their success (for instance, a Temple collapse or the Villain being near enough the KO state), roll the dice one at a time and resolve them individually before rolling the next die. So in your example, he would roll one at a time. For every success, he would add a Danger marker to be Temple and collect a coin. If he got to the point where he added a fifth marker, he would take the coin, replace all Danger markers with one Collapse token, and then rolled for collapse. Assuming Temple did not collapse and he still had dice to roll, he would then continue rolling.
2. I don't see why not. The Henchmen seem to take every other kind of Wound.