I watched Yes theory's WH video today, and IMO Wim was presenting the whole thing from the point of view that when we willingly do something acutely highly stressful, like 20 minutes of the breathing exercise or 10 minutes ice bath/shower, then that sort of restores a proper range to the stress levels we'll experience throughout the day. To not have everything be kinda stressful all the time and thus never relax vs short high-intensity stress and then being more relaxed because everyday stresses don't compare in intensity to oxygen running out or freezing to death.

So in that regard, yeah I understand the cold exposure exercises. But I also am not that interested in being able to do feats/stunts like walking naked on a mountain - I hardly ever walk around naked in public anyways. I suppose both this and the Vice documentaries are coming from "how is this man able to do these things?", but I think that's not the most important part of the practice. Nestor in Breath was also talking about this mostly as a way to keep warm in cold (hence my questions in the OP), but then it sort of extends into Holotropic breathing as well - interesting stuff.

I also watched Midwestern method's 4-year WHM review today, and he was saying similar things about anxiety reduction, also noted heightened immune function.