I have camped out in that type of snow shelter several times. They work pretty well - 100% wind proof and well insulated, although you can't get the inside surface above 32F no matter what you do (still beats a tent at any outside temp below freezing).

Given appropriate trees, I'd take an improved tree well over a snow cave any time. If you really want a snow cave, pile snow on your tree well shelter and have the benefits of both with less total work.

I concur with your comments on the time required to build a snow cave, Doug. Of course, the 4 guys with snow shovels shown in the video were probably able to make a one-man shelter in 40 minutes. Plus, I've usually let the pile it sit for an hour or so to allow it to harden up before I started digging it out.

They emphasize staying dry, but you have to be very careful not to overheat and sweat while shoveling. It is very easy to get wet while digging it out too.