Yep, humidity sucks. Having covered US forces in deserts and in tropics ... Gary would take desert to tropic any day as far as comfort goes.
But dry heat is deceptive. Working in real low humidity, the sweat evaporates before it has a chance to bead up on the skin. As such it leaves you nice and dry and comfy ... until you keel over with cramps and/or heat stroke. Heat stroke comes rapidly in a dry environment, sometimes people will drop while standing or in mid stride ... just bam and a face plant. In a hot and wet environment, you not only feel much hotter, but you have sweat pouring into your eyes, your wet clothing rubs you raw, you stink like a sewer. In the high humidity, heat stroke typically comes sooner than in dry.
It takes about five days to a week to acclimatize to dry/wet heat. Gary remembers Marines, new to the desert, having to drink liquids until they urinate every 20 minutes when on patrol/training.