My first thought was “this would be useful for mountain biking in the desert”. But if much of the effect is perception, it seems like it could be very dangerous in an athletic situation.

I don't think the dangers are significant at all. The danger would come from changing how you perceive your level of heat, causing overheating related issues to come without you noticing the warning signs. If you ride the subway for a 10 minute commute every day, and it's a little warm, you will have virtually no side effects from this.

There aren't new side effects, there is just a hiding of symptoms.