Ya know i've always wondered.
Since the world is blanketed in a curtain of darkness--is it notably cold here too?

It can get a bit chilly but not unbearably so, really. Warmth (and most of the energy that sustains life) comes from beneath the earth, as phlogiston flows up in dribs and drabs from the deep. The further down you go, the warmer it gets. If your toes are cold, just dig em down in the dirt.

This is the lore reason for why no one has any footwear

The solid firmament of the sky also does a pretty good job of stopping the heat from escaping into the void.