I have never used ICF for a full build. Should I be concerned about the thermal mass in a place where the median temperature is high? Is it correct that the thermal mass can sometimes work against the building cooling loads. The average high-temperature in Las Vegas, in July, is 104.2°F (40.1°C), while the average low-temperature is 81°F (27.2°C).

With proper insulation and detailing for air sealing, solar gain, etc, it shouldn't matter.
The ICF should help smooth out temperature swings BECAUSE of the thermal mass.

Don't just take MY word for it. Run it by all the proper engineering calculators as well.

Dilettante is correct, ICF will always buffer the interior temperature swings to some extent and ICF will never perform less than its conventional R-value (about R23 for typical 6” ICF). This thermal mass buffering effect allows selecting smaller HVAC equipment because the building won’t see as large temperature swings and you can design for a smaller peak load.

What you lose by using ICF in climates that have daily temperatures that are always colder or hotter than the desired interior temperature is the higher effective R-value potential that ICF can provide. If you live in a diurnal temperature climate where the daily temperature varies by about plus and minus 20F or more from the desired interior temperature, the ICF effective R-value can be as much as three times higher than the conventional R-value (i.e., your R23 ICF performs like R66). You can use this calculator to determine exactly how your specific ICF will perform for the various seasons in your location:

https://www.borstengineeringconstruction.com/ICF_Performance_Calculator.html

In southern Oregon where we live, our Summer temperatures typically vary plus or minus 25F from 70F and our 6" ICF performs as R66. This in conjunction with our other interior thermal mass design features and our low humidity climate, eliminates any need for AC. Our interior temperature has never exceeded 72F even when we get the occasional string of 110F days. In the Fall, our ICF performs as R63. In the Spring and Winter, however, our ICF only performs as R23.