Unlike your Wave’s regular warming functionality, Embrace is not just for people who feel too cold. Embraces are designed to be gentle and soothing and to mimic the experience of physical touch in a short, 40-second experience. You can set the session to any warming temperature level you want, but Embrace is primarily about conveying affection and emotional presence and not about physically heating a person up.
Thermal sensations (especially warmth) actually have a unique ability to convey social emotion. This is because the areas of the brain that process thermal sensations are the same ones that process social emotion. In other words, we are all hardwired to experience a sense of social connection when we feel gentle warmth.
That said, you know your own body best! If you're feeling uncomfortably warm and someone has sent you an Embrace, you can always tap 'Later' to save the message for a time when 40 seconds of soothing warmth sounds more appealing, or just read their message and tap 'Delete' to skip the warming entirely. It's up to you!