We have them in our sunroom ceiling in our new build so same scenario, I was horrified when the electrician (brother in law) told us we need to leave a 1ft gap in the insulation either side of the lights - this is a lot of uninsulated ceiling!
If you don't leave that much of a gap they tend to overheat and blow bulbs, your heart will be broken if they are on a high ceiling like ours are, so it's something we are stuck with. That said it hasn't felt cold in that room, but haven't been there at night yet!
Our insulation is the (really blooming expensive) Kingspan pink board on the rest of the roof though and it's a north facing room.