The concept is that the pepper based cremes burning,
offsets the nerves that are mis-firing and eventually nullifies the original pain.
Kinda like using 'white' noise to cancel out loud noises or disturbing background noises, but on the nerves.
Some have found it useful.

I have to go in the other direction for burning
because the pepper based cremes burn me terribly.
I'm quite sensitive to them, and I have to
use menthol based cremes such as
'Bio-freeze'. 'Super Blue Stuff', 'Icy Hot', etc.
I do so, every a.m. and sometimes in the p.m. and if
I can't sleep , or am awakened by burning pain-I apply it during the night, too. I usually use the Rite-Aid generic for 'Icy Hot'