The increase of oxygen will result in higher ph levels in your body which will make the immune system, cardiovascular system and others function better. It also releases your 'happy' hormones and will often leave you feel euphoric.
This breathwork if done regularly is proven to boost your immune system. The caves of the monks centuries ago were not that warm, so they developed these tools to create internal heat. What else would you want besides a strong healthy body and a happy mind and open heart? This is essentially a combination of bhastrika pranayama, tummo breathing and kumbhaka. This breathwork practice is very old and has been practiced by yogis, monks, shamans and healers alike for hundreds if not thousands of years. The techniques have gained popularity in the past several years because of yoga teachers in the west as well as the wim hof method. There are no new techniques being taught from neither of these groups but instead they're all shining light on ancient techniques from yoga and buddhism with kind and loving intention.