Any suggested reading about statistical mechanics?
*Okay, so maybe there is sufficient prompting to model thermodynamics with such spaces, but I hope the point about constructs not necessarily being applicable was made.
Sorry, I can't recommend anything. The course material and even the textbook I read on the subject was in German.
Yes, constructs are not necessarily applicable, but it is quite hard to find any mathematical construct that has not yet been used (or abused) for some application outside of pure mathematics.
Depends on how it is handled.. I don't think screaming would help though. I would have a problem setting something (like a number) equal to it unless it was understood that "=infinity" is not an equivalence relation, but a statement about {positive} divergence (as in we're no longer dealing with a huge number). It may turn out for a given scenario that the infinite-dimensional case can be well-approximated by a finite-dimensional case if it can be shown that the infinite case is convergent.
This careful reasoning about convergence is exactly what physicists usually don't bother with. Until proven otherwise we just assume it converges and go right ahead. If we notice along the way that it doesn't, we try another approach, but as long as a technique works we don't care much about proving that it is applicable.