Your character will actually react to the cold. You’ll see visual cues like shivering or frost on your gear as your "Exposure" meter rises.
If you’re playing on the Special Edition, be sure to grab the Frostfall SSE Fix as well, which fixes a few UI bugs that appeared after game updates. skachat mod frostfall skyrim
Frostfall on Nexus Mods (LE) Essential Installation Tips Your character will actually react to the cold