You're welcome Danyl. That's a great question and something I should have included.
You hit the nail on the head with the positives. Improvements form modalities (thermal, cryo, e-stim, dry needling) and soft tissue therapy (massage, foam rolling, stretching) are largely placebo and influenced by expectations. The all show some small improvements in pain but not much else.
I think cold showers and ice baths are fine provided they are not immediately following an injury or workout. Even with exercise inflammation is desireable. Inflammation is how our body recovers and builds. If you do a quick 60 second cold shower to boost energy, I see no issues. If you have chronic back pain, an ice pack is preferable over medication.
Saunas are a different story. There are some studies showing saunas can boost recovery and resilience.
In the end, its about the goal of the treatment. If the goal is to improve recovery, icing is not effective. If the goal is empowerment or pain reduction, it can work. You just need to weigh all the pros and cons.