The issue when it's really cold and you have a lot of cloths, as soon as you start moving or doing any physical you will sweat, when you stop doing something physical, your sweat freezes to ice and your cloths become cold and no longer warms you (especially modern fabrics, wool is better).
The air at -40 will dehydrate you in a very short time this is something you will start to experience at between -7 to - 10c, your snot in your nose will start to freeze, and at -40 the air is so dry it's like breathing plaster. The air is so cold that the lungs can't warm the air so you are actually cold down from the inside out and as the air is to dry the body needs water to add moisture to the air you just inhaled, which means your losing water that you need to survive. Alot of water is lost when breathing.
Your first instinct when you're losing water and getting dehydrated is to eat snow, this can kill you as it will lower your core body tempreture rapidly. Dehydtation also leads to hypothermia.
But I agree, you do have a way to protect yorself in everyday life with less effort then in warm weather, you can always get more cloths but can't remove more then till you're naked as you also said
