Yes they buried the caveats at the very end of the article. They don’t know whether effects are specific to hot yoga or exercise in general.

My experience is that 30 mins of vigorous exercise at least 3 days per week has huge benefits on overall wellbeing - including mental health. The caveat there is that diet has to be tuned to support your level of activity. If you are exercising and not eating enough, low blood sugar can bring on the bad feels / thoughts.