The European XFEL is currently the only high-repetition rate hard X-ray free electron laser (FEL) facility in operation worldwide. We significantly improved its capabilities by installing a cascaded Hard X-ray Self-Seeding (HXRSS) system, composed of two single-crystal monochromators. With this system, mJ-level pulses in the photon energy range of 6 -14keV with a bandwidth around 1eV (corresponding to about 1mJ/eV spectral density) were generated. Combined with the burst-mode, multi-MHz repetition rate of the European XFEL accelerator, the cascaded HXRSS setup provides two orders of magnitude higher average spectral brightness than any other FEL facility. At 2.25 MHz repetition rate and photon energies in the 6-7 keV range, we observed for the first time heat-load effects on the HXRSS crystals, substantially altering the spectra of subsequent X-ray pulses. Using the cascaded self-seeding scheme, we successfully reduced this effect to below detection level. These results open up exciting possibilities in a wide range of scientific fields, exploiting the extreme brightness and the narrow bandwidth of HXRSS pulses.