Which mitt did you try?
Even on a hot surface it shouldn't do that. On a hot surface it just becomes grabbier - it's best used on a cool, shaded car - but it shouldn't leave anything behind unless it was cheap eBay knock off.
Cloths/mitts are better, easier and quicker than bars on large, relatively flat surfaces but they're next to useless for anything fiddly. Bars are much more pliable to smaller gaps. they each have their uses. Also I've never seen anyone yet claim that you need a specialist product to use as lubricant for cloths/mitts either.
I ordered it from the Clay Cloth Company, I think it was recommended somewhere, thought i would give one a go as using the clay bar took all day