This was a a result of the Portuguese brining it to India from the new world(along with Christianity from Europe.) These were two of my first impressions of traveling from North to South in India - "hmm the food just got wonderfully hot and wow there are all of sudden a lot of churches")
I've heard these pseudo-scientific explanations like "makes you feel cooler" as well but I think it's really just an acquired palate over time in areas that the Portuguese were trading in.
That being said I have a folk remedy for when I feel like I;m getting sick with a fever which is to order Thai curry and ask for it 'Thai hot." This usually gets a laugh and a request for confirmation. It appears to me to help the fever break. Placebo or not, I have no idea.