As an aside, I remember somebody returning a standard grilled chicken sandwich at McDonalds for being unbearably spicy.
Maybe it was secretly a McSpicy? https://www.mcdonalds.com.sg/food-menu/mcspicy/
I don't reckon anyone has ever requested a refund because they could actually eat what they ordered.
As to those customers who only order hot food to brag to their friends, they can pretend their food is really hot and nobody has to know the truth.
Some dishes like Thai Green Curry are based on green chillies (and Red curry on red chillies). Adding less chilli just dilutes the flavour an makes it weak (but still hot). You cannot really substitute the chilli with another milder ingredient like capsicum (bell pepper) because the flavour will change completely.
When I was waiting in a Thai restaurant (in Australia) I too started do the "are you really sure" thing after a couple of customers ordered the hottest dishes on the menu, then complained they couldn't eat them and wanted a refund.
People would often ask for a "mild" version of, say, Tom Yum soup, which is not really possible without thinning it down with water and losing all the flavour.