That hasn't really seemed to be an issue for us, the heater cable rests on the bottom of the bucket and as long as there's some liquid water in the waterer I've got in there at the moment, the nipples seem to be working. I think enough heat radiates through the bottom to keep them from freezing, although the space blanket I've got in between might change that. We'll see how it goes.
*Edit* To clarify, it hasn't been an issue in the uninsulated bucket that's in there at the moment. But because the new waterer is going to be insulated on all sides except for the bottom, I think it should keep them from freezing.
Must be you don't get too cold there in Finland Felix. Looks like Helsinki bottoms out (on average) at a balmy 14F.
Like aart, I would think it beneficial to insulate around the external plastic part of the nipple. My saddle nipples are larger so there is more exposed area. I built them into the bottom of the nest box with ONLY the pin sticking out below the plywood. There is rigid foam under and along the side of the pipe and nipples and over the top. The water is heated to ~75F and is constantly circulated from the bucket through the pipe and back to the bucket. The pins can still freeze at -20F.
Thus, for your design, I think I would put the nipples in the inner bucket with a hole in the outer bucket just large enough for the bottom of the nipple and the pin to stick out and foam the space between. Of course this makes replacing nipples a huge PITA.