Cold and damp often feel the same, it can be cold and dry but feel damp.
In any case, cold isn't great, as it means condensation could form.
But your window opening and dehumidifier will reduce that likelihood.
Don't forget to heat the space as well, warm air hold the moisture, which then vents out of the window or get trapped in the dehumidifier.
My point being, don't stop using Head & Shoulders just because the dandruff has magically gone away!
Hold a piece of tissue against it and see if it actually gets wet.