Northeasterner here with no insulation, no heat and no problem.
The questions of insulation and ventilation have been kicked around for as long as the years I have been following this site and probably for years to come. To this I offer this... Recieved a thermometer/hygrometer/barometer. Since the wife was not fond of the style, guess where it ended up? In the winter, coop temp is a little higher (probably due to no wind chill and body heat) and humidity is pretty close to outside. It is 100% humidity inside when it is raining or sonwing out.
My coops have operable vents that I open only the down wind side. So far, this game plan is working and no frostbites.
My suggestion would be: if you are going to plywood the inside, you might as well fill the cavity. If you are going this far, then you should insulate the roof since heat rises. So when you decide to heat your coop, it would be more effective.