If heating is your goal, thermal inefficiency isn't really a problem.

There's also the issue of the blood-brain barrier. Might make normal thermal regulation insufficient. In any case, it seems like they intend to do further study to see if this hypothesis is really correct and if there is more to the story. Who knows--it might be that for some species it's not necessary, but left over as a vestigial behavior like a tailbone. That's pure conjecture on my part, excuse me.

Something I find interesting about this, if a little off-topic, is that the Ancient Egyptians had a misconception that the brain simply existed to cool the blood. When they mummified a body they threw that part in the trash. How far we've come.