The steel SPD cleat, clipped into the steel and aluminum pedal, screwed into the aluminum crank arm, with a whole steel bike frame at the other end of it, is an enormous heat sink. In warm weather that's not an issue, but on recent rides I've been getting really cold feet despite pretty good insulation.
While it is theoretically true that some of your body heat
may eventually reach the ground via the route of the cleat to the pedal to the crank arm to the bottom bracket to the axle to the wheels and across the tires, the actual amount of heat lost that way is going to be so small as to be unmeasurable. And that would only happen if you are riding in shoes without insoles and without socks. Even a little bit of insulation is going to keep your feet from losing much heat through the cleat.
Heat loss is area dependent as well. You will lose more heat through the tops of the shoes than through the cleat.
Have you tried this, or are you just treating this as a thought problem?
Trust me, I have tried this. I've ridden centuries in sub-freezing temperatures every winter for five years now, and I have a pretty good idea what works and what does not. I have not found a way to make SPD's work in really cold weather.
Perhaps you just haven't looked at the problem in the proper way. I ride a lot in sub-freezing temperatures. Over the years I've tried a lot of things to keep my feet warm while using SPD pedals and found lots of ways to make them work effectively. No single thing I've done has work alone but together the ways I prepare my shoes has been effective. First, I seal the cleat slots. It's not the cleat that sucks the heat out of my feet but the cold air infiltrating through the slot that is the problem. I use aluminum furnace tape across the bottom of the shoe under the insole to not only seal the hole but to provide a reflective layer to reflect some of the heat back towards me.
Next I use an insulated insole. There are aerogel insoles out there that insulate quite well. There are also sheep fleece insoles that trap air and provide a lot of warmth.
You are of course free to disagree, but my point was: it's not a matter of insulation. I already have shoe covers. Thicker socks inside the same shoes do not insulate any better, especially if they restrict circulation.
You are correct that thicker socks in the same size shoes that you wear in summer don't make your feet warmer. But why are you wearing the same size shoes for winter? Go up a size or two and you can fill the extra space with more sock. That works wonders for keeping your feet warm.
Summer shoes are made to shed heat not keep it in. There are a lot of winter boots out there that do an excellent job of keeping your feet warm and still allow the use of SPD pedals. They tend to be heavy but not any heavier than the winter boots that people use. You can even find some waterproof bicycle shoes that do a good job of keeping your feet warm and dry with the proper preparation (see above). All of these work better in a slightly larger size than a summer shoe.