I live in the dry heat, and I can tell you, yes it does feel hot. Spend any length of time outside and you will sweat. Maybe not from the car to the building, but your back will be sweaty from the seat of your car. It takes a long time for your A/C to cool down your car unless you park in a garage.
It's actually more dangerous because you don't feel how much water you are losing. Yes you do sweat almost as much in the desert as in Mississippi (I've lived in both places), but you don't feel the sweat because it almost instantly evaporates. Many people run into trouble not drinking enough water out here because they don't feel themselves sweating when they actually are.
I have also been inside of a Reactor compartment that was over 130F in a full contamination suit. I can tell you that is super hot. Though I wouldn't call that low humidity, as there is some humidity in there, though not a lot since things in there are designed not to leak, but the ocean air is pumped in for ventilation.
Still, with the choice of Las Vegas and Mississippi I choose Las Vegas. But I wouldn't live here if A/C didn't exist.