I think you're right on with your assessment. I think there is a CNS effect because it puts your body in a sort of "shock" mode. Like someone slapping you in the face 3or 4 times.
But, make no mistake about it hot/cold therapy works!
Here's what I do:
20 min in 83 degree pool. Then 5 min in 103 degree hot tub, and then back again in 83 degree pool.
When the facilities are not available I simply try to duplicate that in the shower. However, I go a bit colder in the shower 70 degrees or so.