Super hot is worse than super cold, but the knock-on effects of living in a super cold place are probably worse.
I grew up in Canada, but Vancouver, so my experience with real Canadian winters is limited to one year in Kingston Ontario. Plenty of times camping and hiking. No winter camping, but numerous shoulder-season camping trips with morning snow on the ground.
I only recall feeling “Crap, I’m too cold!” (and I couldn’t immediately remedy this with an extra layer) once - tentless, in a sleeping bag on hard ground in mountains in the Sinai Peninsula. It was memorable. Until then, I didn’t even realize I could feel too cold! I’ve felt “Oo, it’s really cold!” many more times, but that’s about the same level as discomfort as the moment I first walk outside in Taipei right now, with “Oo, it’s really hot!”
As for living in Taiwan: “Crap, I’m too hot!” hasn’t yet happened today, but it certainly will within the next few hours. I have definitely felt more discomfort from the heat over the past week - or any given summer week in Taiwan - than I have in my life from the cold.
Posting this presumably means it is now my karmic fate to die of hypothermia.
Caveat: my internal thermostat may be out of whack. University roommates were often bewildered by how my window would be wide open in the middle of winter.
Oh, and while I’m apparently OK with cold, I am NOT OK with the darkness of northern latitudes. What @Noel describes above - the almost paradoxical claustrophobia of a prairie winter - would drive me insane. Not so much because of the cold, but because I’d be mostly stuck inside, and not seeing any green or enough sunlight. I was once acclimatized to the darkness of a Vancouver winter, but I’ve been there for one winter month in the past twenty years, and I hated it.