The lack of density is the cause of confounding behavior.
A normal human perspective on 'hot' or 'cold' relates to collections of matter at the pressure and density that we live within. There is ample material (mass) and opportunity for energy exchange (conductivity), so if something is relatively hot or cold there is a large difference in potential energy and much opportunity to 'correct' that difference by equalizing energy.
The WIMP gas they describe would be __highly energetic__ (hot), but also extremely sparse (vacuum). For any given atomic element present it's rather hot. Yet the actual energy density within a given cubic meter of space, relative to some idealized vacuum, is nearly zero compared to the dense muggy energy in a cubic meter of even frigid polar arctic night air.