I'd speculate the difference in volume is too great, having half your blood replaced with saline solution must feel awful.
I've always wondered: Why don't they warm it up?!
Interesting point by aomix about the temperature, but that could be compensated for if it was needed.
I haven't donated plasma in a long time, but pretty much the only thing I felt when the blood cells and platelets were returned was a light tickling near the needle and sometimes a faint chemical taste or smell, presumably from some component in the replacement fluid. Exchanging several liters would take time, certainly, but it doesn't seem at all a given that it would be very disagreeable in the immediate term.
Slightly longer term, one might certainly wonder about the comfort effects of having stuff like hormones and cytokines, circulating antibodies, clotting factors, etcetera rapidly halved. That ought to jolt the homeostatic controllers good, and that could well be one of the reasons for the beneficial effects. And halving blood glucose should be potentially unpleasant, but I suspect the compensation would be very fast.
Indeed, I'm wondering if this is yet another example of eustress. Other examples of eustress are exercise, sauna, and cryotherapy.