There is a better chance they'll get frostbite on their feet if there isn't a roost b/c if there is one their feet will clench around the bar. I also heard that the deep litter method makes things warmer because the decomposing waste makes heat. I use the deep litter method,too and it works for me. What I do to my coop in the winter is I just cover it with a tarp. It's easy and works for me.
I thought someone might bring up the "heat" factor of deep litter.
For compost to generate heat it needs a good deal of moisture, approximately 50%. That much moisture in a hen house, in winter, is a bad condition for chicken health. I can find no valid data-based research that says DLM generates heat. Still, people want to make that claim because if it on the interweb it must be true.