Here's another source that seems to discuss this:

Peripheral Neuropathy: Pathogenic Mechanisms and Alternative Therapies
http://www.altmedrev.com/publications/11/4/294.pdf

"Capsaicin is an active principal of the herb Capsicum officinalis and is believed to stimulate The initial stimulation of C-fibers results in burning
and irritation that stimulates release of substance P (a pain-relieving neuropeptide) and other neuropeptides. Repeated exposures result in a diminution of the initial burning and irritation and a long-lasting
analgesic effect ...

... Substance P levels increased initially during the first four weeks of the study, but declined to baseline by the end of the study, calling into question the long-term effect of capsaicin on Substance P..."

Referencing this study:
Forst T, Pohlmann T, Kunt T, et al. The influence of local capsaicin treatment on small nerve fibre function and neurovascular control in symptomatic diabetic neuropathy. Acta Diabetol 2002;39:1-6