Your body stores a tremendous amount of energy. For example I've personally fasted for 7 days, no calories in, and know people who have gone a month, no problems. Normal daily routine, exercise, etc. In a way you have even more zip in your step cause you're not processing all that food.

So it's not like you're an inert lump out in the elements. You have the caloric equivalent of several gallons worth of gasoline in your body somewhat readily burnable (obviously at the tail end you'd start to look a little worn out). Systems like Wim Hof give you the ability to consciously tap into that energy reserve with enough practice.

Also think about tiny animals like squirrels out in the elements all winter. Yes natural insulation plays a small role, but let me give you a fur coat and some nuts and see how long you last. ;) Not to mention surface:volume ratio much worse than humans. They're natural Wim Hof masters.

I think they mean “you simply don’t feel cold”.

Yep, that's what I meant.

So why the point about frostbite? Surely you aren't implying that this technique will protect you from that?

Frostbite at the extremities is significantly a consequence of vascular constriction which prevents warm blood from flowing in and replacing heat lost to the elements.

Anything that reduces that vasoconstriction (or actively dilates your blood vessels) will significantly delay the onset of frostbite. On net your body will lose heat faster as a result, but that can be offset by engaging other systems in your body responsible for generating heat.

Why would you have to violate the laws of thermodynamics? You could simply consume more calories.