I think a better control group would have been a group who had to bash their thumb with a hammer or something....

No because this was not a self-selected group. It was people with no regular history of cold showering. My money’s on placebo effect here.

Right but people would be excluded from the study if they found the cold showers too grueling and wanted out.

I've been using cold water at the end of my showers for a while now and it doesn't feel painful or even uncomfortable. Quite the opposite. So, your point may follow but not exactly in the way stated.

Since there was no dose-effect relationship either, I find your idea pretty compelling.