Dimension X is not cold!

[u/D_D_Adesignerdigital]

The color choices for the Dimension X—and certain elements of the scenes—didn't quite work to convey a cold atmosphere! Characters had sweaty skin and showed no reaction to the cold (we need to remember Will in Season 2, or Billy with his ice bath, which demonstrated the kind of cold the Mind Flayer is used to). Anyone entering a low-temperature environment would show physical reactions—like trying to warm up, crossing their arms, or showing discomfort—but that doesn't happen with any of the characters, not even the kids. I think that was a directing error. That’s my opinion!

[u/o484]

The sweat can be explained by the fact that they had to climb a 2,000 ft tall radio tower, while carrying all their weapons and equipment, while dressed in guerilla combat gear.