Chili Powder is not always hotter than Cayenne Pepper but the Chili Powder certainly can be much hotter than Cayenne Pepper depending on what the Chili Powder contains.
Some types of Chili Powder contain less hot peppers when making the Chili Powder so they would be less hot while some other types of Chili Powder may be made with hotter peppers so that would make the Chili Powder much hotter than Cayenne Peppers.
Most Chili Powders I've used or eaten have been less hot than a Cayenne Pepper but you might find some Chili Powder that is hotter than Cayenne Pepper.
But if you can handle eating a Cayenne Pepper then you most likely can handle eating Chili with hot Chili Powder.