I mean... to me, the possible health benefits are pretty tenuous. I probably wouldn't make it a point to pursue eating progressively hotter food on the off chance there might be some minuscule health benefit. To me, the reason for eating hot foods is because they're tasty and good, and it's an enjoyable experience.

FWIW, though, I didn't always like hot stuff. In fact, up through probably my mid 20's, I really didn't eat much spicy food at all. It wasn't until I moved to a more urban area and did two things that my taste for hot stuff started to develop. One, I started hanging out at sports bars to watch football, and got into eating buffalo wings. Two, I discovered Thai food and started eating that a lot. And over time I just found myself wanting the stuff hotter and hotter. I never made a conscious decision to say "Hey, I hope to one day be one of those guys who eats crazy hot food loaded with Ghost Pepper sauce." It just kinda happened.

So I guess I'd say... eat what you like. Branch out now and then just to explore and expand your boundaries, but I wouldn't suggest making eating a painful experience for no particular reason. shrug