I believe that people are mentioning it but still missing it: The whole thermodynamics here is not about the "complete energy loss", which is really negligible.
The point here is in the process itself. Remember that anus is highly blooded, which means that most "negative energy" (don't take it literally, it is not a "negative energy", still this term describes the process really well) goes to blood and then directly to the heart basically (due to quite straight connection of this area to the large veins). The blood doesn't come through any well-heated areas (which are basically livers and muscles). This can cause the cold to reach in another part of your body in a short time, which can be dangerous.
If you still don't believe it, remember that the rescues give a warm enema to to people who suffer an overall cooling of their body, to heat them up: precisely because the warmed blood from this area would quickly get to heart and from here to all the important parts of your body.
My recommendation from a different thread is: Use frozen objects and lube them well, they have lower "negative energy" stored in them, and this energy unblocks much more slowly than from ice.
The only exceptional material is metal, which unblocks the energy very fast, but the amount is quite small (around 20% of that of ice). This means that a smallish butt-plug deep-frozen and stucked up will cause you an intense sensation that is not dangerous (because the amount of energy is really small).