It feels nice afterwards...you get a rush all over your body
Its a mental challenge...
It does make a small difference to recovery imo...
100% truth on the mental part.
In general, people just don't like the feeling of being uncomfortable. It's not that the shower, etc is causing them harm, it's just doesn't feel like they're used to, so they bail.
This is the case for many things.
Per Calvin's point though, I did have one jump into 30 degree ice water where I thought the signals to my hands from my brain were slowed a bit.....odd feeling.