Metal cleats and pedals will work as a heat sink to pull heat out of your shoe. That said, I have never been aware of the cleats while riding and I ride both LOOK Deltas (plastic) and slotted traditional aluminum cleats.

This could be a real plus of carbon fiber pedals and cranks. (And handlebars and brake levers. "Why do you commute on a $4000 carbon fiber bike in the winter?" "Because it's warmer."

Ben