So, I searched around the forum and apparently no-one picked up on this: Why is space cold in the future?
Seriously, hard vacuum is one of the best insulators known to man - if it wasn't vacuum Thermos flasks would not work. In a star system, especially with direct LoS to the star and anywhere near the habitable zone, the biggest issue anyone has regarding temperature in the void is getting rid of excess heat. This is why the Apollo astronauts wore suits with giant refrigeration units on the back.
So how come you start suffering cold damage if you nip outside for a walk in the year 40,000? Is this a fluff issue? Does GW's version of the universe just happen to have freezing cold, conductive vacuums for some reason?