Born and raised in Eastern Siberia (Irkutsk, Irkutsk region). We often have minus 30 and minus 38 - and we even went to school. In general, -30 in Irkutsk feels like -20 in Moskvn due to strong Moscow winds and differences in humidity. I have never put on thermal underwear in my life - warm tights under trousers, a sweater under a down jacket and went. The main thing is as many layers of clothing as possible, then nothing is scary at all.
Thermal underwear in general, not for thermal insulation, does not heat very well. Even in winter, this is a secondary, not the main function. The main function is to always wick away moisture and sweat, letting steam out of the body well. Therefore, if instead of thermal underwear, you put on an additional sweater / underpants or insulate yourself in any way, the heating will be the same. BUT if you actively move, you will be in it for a long time in the cold, then the lower layer will gain moisture (even cotton has its limit, how much it can absorb while remaining dry to the touch, and then it will dry terribly for a long time) and will cause discomfort for a long time, and you will freeze rather. And with thermal underwear, if you sweat, you dry out much faster, which makes it harder to freeze. In general, thermal underwear does not replace good warm clothes (sweaters, a windproof jacket, etc.), but complements so as not to freeze from sweating.
Thus, if at -20 on the street only you walk and not for very long, it is not necessary at all, and if you also have to sweat, then it threatens the same as insufficient insulation in frost - hypothermia, and that "threatens" in the sense of "increases the likelihood" and not "guarantees". Hands, feet and face are still not protected from frostbite.
Nothing, I'm afraid. Even when I lived in the north, on New Year's Eve (-40) we always went to the Christmas tree. And this tree is on the street, next to some kind of concert and ice slides. Down jacket, three pants, that's all. And nothing, no effect on health was noted either by me or by my friends. The only thing - from the cold pulls to urinate, that's all.