I changed the set point of my heated wheel and initially I thought the same thing you did... but, most heating elements are controlled with some form of PID method. So what will happen is it will 'over heat' to get the steering wheel (mass) itself up to temperature. Then once the steering wheel mass is up to temperature it will turn off and only maintain the wheel at the programmed temperature by periodically turning the heat on or up. This creates a feeling 'hot' while it warms up the cold soaked wheel. And when the heating element turns off it feels cooler relative to the hot setting, but it is not. Relatively speaking the wheel is colder than the hot temp used to get it to temperature fast.
Check the temperature with a non contact infrared thermometer when the wheel heating element goes back off the wheel should still be around the set temp. Of course you can set it to be a higher temperature (say 37.5 C / 99.5 F) but you may find it too warm once the vehicle comes up to temp. Even on a cold 20 F day a wheel set to 35 or 36 will feel warm once it arrives at the set temperature. But really the time we 'want' a warm wheel is right when we get in and the entire interior is cold soaked. Then that nice 100 F feel is nice and toasty. which is what you feel while the wheel is coming up to temperature.
On my '13 I set the wheel temp to (IIRC) 35.5 C which is about 96F. I found for my preference that if I set it too hot my hands would start to sweat on a longer trip. So I backed it down 1 -2 degrees C from what felt warm.
I would recommend trying a few settings and seeing how youl like them. Try 34 C to 38 C and see what you like. I think I was able to adjust in 1/2 degree increments.
