You'd be surprised but when you direct, you are so so so focused that everything becomes of little annoyance.
I was in light jacket at -5°C during the winter and I even felt it was too warm.
Did not even got sick...
The truth is you are super busy (physically and mentally) which keeps you on your toe and I won't dictate you how much being active is important for a healthy life.
The worse departments on set are the one waiting (like Actors for example) it's very hard to just wait the whole day and give a 100% in just the few minutes you're asked to.