I live in Michigan, have had egg birds for about 10 years. My coop is the east end of my barn, so it blocks the majority of the westerly winds. I don't heat anything. The 3' chicken wire section that I have on top of the west wall for ventilation gets covered with a heavy vinyl tarp during the winter (the west side of the coop has a large overhang that is the horses' run-in, so it does block some direct winds), but that and the gaps around the outside door are the only ventilation I have during the winter. I usually keep about 12 - 15 egg birds in that 8X10 coop (converted stall) and I usually use the deep compost method for floor shavings once the snow sets in, which means there's about 3-4 months that the sawdust doesn't usually get changed (unless it gets packed down too hard, then I try to change that out). It does help to keep some basic warmth in the coop, but when it's really cold or blowing, I keep the birds in out of the deep cold or wind and they always seem to be very comfortable.
I have had a couple roosters that had particularly large combs or wattles that have had issue with frostbite. I have to watch for that and slather them with some vaseline, but otherwise I've had no issues.
I would say if you put extra ventilation in your coop, make sure you have a method to cover/close it for those times during the year when the wind is howling or the cold gets really bitter, then open it back up when the really nasty weather has passed.