Research has shown that when calculating overall comfort, the human body is disproportionately sensitive to local sensations and to transient conditions.
That's why when your socks are wet, your body screams "I'm freezing! I'm going to die!" even though your core temperature is perfectly fine.
Embr Wave uses that same effect, but for the good. By warming or cooling, it creates a spot that feels nice and comfortable, so that your body can focus on the pleasant sensation on your wrist rather than your earlier discomfort.
It's the same reason why running your forearms under hot water helps you warm up on a cold day, or why dripping cold water down the back of your neck makes you feel colder.