Nice video! I would like to see them do a few more tests with higher underhood temperatures and see if the difference becomes larger.
Drop-in filters can improve performance IF the filter is a restriction to begin with and less of a restriction then the OEM.
If the Skyline's (in the video) intercooler is able to keep up with the heat load there shouldn't be a significant power difference. When the heat load exceeds the intercoolers ability to reject that heat you will see power drop unless cooler air becomes available or meth, etc is added. IF the intake system is already at that threshold a small temperature increase will likely reduce total power output. This is rather obvious at the track as ambient temps drop it moves the cars into their efficiency range for longer or allows them to add more timing/boost.
RE: Heat kept in the head. Logically, if the surface area for cooling is (significantly) reduced then cooling will become (noticably) less efficient. I would be concerned that the extra heat that is not being conducted into the intake will only keep the head hotter. If this results in higher average combustion temps it will result in lowering the detonation threshold more than compared with the heat added to the air passing through the intake manifold alone.
I wonder how much heat is actually absorbed by the air passing through the intake manifold on a turbo that flows 50lb+/min? How many degrees could it add? Any physics majors here?
A related problem, albeit the degree of tolerance is probably much more sensitive, is introduced when coating pistons since the thermal decay rate within the combustion chamber is extremely important for controlling the burn rate of the fuel while avoiding pre-ignition.
With that said, if your tune isn't near the bitter edge it probably isn't worth losing sleep over. Shielding your intake, as Rob said, with a provision for colder air to enter is cheap insurance for maximizing your power potential.
