I think that had the actors worn simple jackets in the "freezing cold" room, the audience would notice that there is no visible exhaled breath coming from the actors. (I doubt the producers would have worked to drop the temperature of the soundstage below freezing in order to make it look more realistic.) I think masking the actors' breaths by use of over-the-head hoods was a necessary evil. Otherwise it would have looked even more
like a mid-summer day in Southern California.