Yes, but forewarned is forearmed. We can do things to protect ourselves from the cold shock. As for fear or shock, I believe more people die of heart failure or respiratory arrest from fright than from thymus swelling.
If that was true I'd have died in 1998. I've been out in -25 F and I'm still here. One death does not make a problem for the whole of humanity. There were probably other circumstances involved.
I drove a bus for 14 years and spent freezing cold nights standing on street corners eating off of newspaper stands while waiting to make a relief. I drove buses with no heat. Trust me, cold air doesn't kill you unless you get hypothermia. It's like the first report that some child died from childhood vaccinations and it sent people into a panic. Or like food poisoning. 20 people can eat at the same place, the same food, 10 get sick, 10 don't. There are always extenuating circumstances.
30 minutes or more and -25F with wind chills of -65F. Driving with an unheated bus, doors opening and letting in cold air every other block for as many as 10-13 hours a day. Trust me, I've been through it all and it won't kill you. I also have chronic bronchitis and asthma and I'm still here.