Adverse Effects: A study [See Reference] analyzed the literature and did interviews with medical staff and found that the most common risk for laser hair removal is burns and changes in pigmentation. Lesser common complications include increased sweating, rash, post-op pain.
Benefits: From what I've read [See Reference], the main benefit is cosmetic satisfaction. Although the paper does mention the therapeutic effects against hirsutism/hypertrichosis (excessive hair growth).
To address some of the other points you were mentioning:
Removing hair does assist in odor control since hair is porous (readily absorbs odors). So less hair = less odor.
Removing hair does not reduce sweating "because the practice doesn't affect the glands that produce perspiration." Mayo Clinic explains "These glands will continue to produce perspiration even when the hair is shaved down to skin level."
For pubic hair removal, a study [See References] was done using a self-administered questionnaire (sample size 369 women) and the researchers found that "The majority (60%) had experienced at least 1 health complication because of the removal, of which the most common were epidermal abrasion and ingrown hairs." Your mention of infection is certainly accounted for in the paper: "This practice [pubic hair removal] may result in adverse health consequences, including genital burns from waxing, severe skin irritation leading to post inflammatory hyperpigmentation, vulvar and vaginal irritation and infection, and the spread or transmission of sexually transmitted infections (STI)." From what I've seen, the research on adverse effects of pubic hair removal for men is less studied, but I did find a paper [See Reference] that mentions a positive correlation with STI's, but this conclusion is assuming that men are cutting themselves while shaving.
Evidence-based review of hair removal using lasers and light
Adverse Effects of Laser Hair Removal:
Sweating and Body Odor:
Pubic Hair Removal Complications in Women Study: https://www.ncbi.nlm.nih.gov/pubmed/24486227
Pubic Hair Removal in Males, Trends: