The advantage of thermal feedback is that it is completely private. Other types of feedback, such as vibrotactile feedback, can be heard by others.

ACM: https://dl.acm.org/doi/10.1145/3731459.3779350
Researchgate: https://www.researchgate.net/publication/401335100_Just_Warming_Up_Exploring_Heat_and_Wearables_for_Data_Physicalization