I read about that trick years ago. It was in an essay by Ian Fleming. He wrote '...as hot as you can stand it for as long as you can stand it, followed by as cold as you can take it for as long as you can take it.'
What it does is trigger your parasympathetic nervous system (or maybe the sympathetic, I always lose track of which does what). And yes, that makes blood vessels constrict and dilate and I just find that it enervates me and makes me feel really good.
I'll try taking a shot after such a shower and report back. 🤣