[graeme]

I think those are two different phenomena:

1. When your hands are really cold they aren't ready for warm water. If you start with cold water and warm it up you will figure out what your hands can handle and get to the point where you're safely adding heat. You might find the cool water is actually warmer than the outside of your hand to the touch.

2. If you hold snow blood rushes to the hand and the pumping feeling produces the sense of warmth