The advantages of melanin have nothing to do with heat and everything to do with UV exposure, it just so happens that places with more intense UV exposure also generally tend to be warmer (but not always).
Melanin protects the DNA in your skin cells from being damaged by UV light, that’s why people who evolved in sunny climates tend to have darker skin. The main disadvantage to having high melanin levels in climates with lower UV exposure is that it tends to lead to vitamin D deficiency as natural vitamin D production in the body is stimulated by UV exposure.
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