My old farrier in Texas said he'd cold shod over a thousand horses in his career and only had two come up lame from it. The risk isn't in the method itself, it's in the skill of the person doing it. A good cold set shoe fits just as well as a hot one if you know what you're doing. The problem is when someone slaps on a shoe that doesn't match the hoof shape at all. That's where the real danger is, not the temperature of the metal.
Skill is the whole game here. A master can cold shoe a horse perfectly fine. But a bad fit is a bad fit, hot or cold, and that's what hurts them. The metal being warm just lets a good farrier mold it a tiny bit better to the hoof. So maybe it's not the method, but it sure helps cover up small mistakes. Too many people out there calling themselves farriers without the real eye for it.