Our duckhouse is not insulated (although we left that option open). We use a Sweeter Heater, and it has all the benefits you mention, but it is also bombproof.
We wrap the run with 6mm plastic on three sides, and they have 24/7 access to it 99% of the time. We let them free range supervised...
Like @Duckberry , we also live in Maine (although we are on the coast). We have silver Appleyards, and they do great in the cold and snow. I will add that there is some variation within a breed as to preference. For example, our girl Goosie really doesn't like the cold and it's quite obvious...