The chunkier the pad, the less breathable the whole guard will feel, but most manufacturers now take steps to allow the elbow guards to be as breathable as it’s possible to be. Look out for ventilation gaps, mesh on the inner side of the pad and perforation in both the sleeve fabric and the pad itself; this won’t affect the protection offered by the pad, but will help reduce the chances of super-sweaty elbows.
While it can be tempting to always go for the most protective pad, it won’t be any good if you don’t end up wearing it because you get too hot in it, so as ever there’s a trade-off here between protection and comfort.