It is a banned dopant in horse racing.
https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6006555/
Capsaicin and dihydrocapsaicin are alkaloids with analgesic effects in humans and animals. When used locally, both of them minimalise pain sensation by defunctionalising nerve endings.
I wonder if the body responds to the chemical simulation of heat stimulation as it would to true heat by dilating vessels close to the skin to cool if it would contribute to short term feelings of warmth at the expense of longer term heat retention.