Yeah star trek right now really can't seem to decide whether "space is cold" or not.

Of course, that's because the truth has just alittle bit of nuance to it, and nuance is hard for writers.
Space can be cold, depending on where you are, but its also barely even there. No atmosphere means no convection, and that means you're gonna be losing heat much too slowly for it to be your number one problem if you've just been spaced without a suit.

He was extra warm too before getting to empty space. Larger differential in temperature.