It is *easy* (not impossible!!) to insulate a coop, and it can be done cheaply or for free if you scrounge appropriate materials.
Do you need to insulate a coop for chanteclers in Sarnia? No, as long as the coop is draft-free (though still well ventilated) and you don't mind feeding them a bunch extra food. (But see below b/c of metal shed)
For Australorps it'd be more worthwhile as you may have some frostbit combs otherwise (or you may not, depends on a lot of things).
There is no disadvantage to insulating, other than the slight extra labor and the fact that you'll have to scrounge or buy materials. And it allows you to keep good air quality without excessive cold; the coop will retain heat much better with insulation (be that heat generated by chickens, daytime warmth, or a lamp) so the chickens will be happier and you will be less inclined to run up your hydro bill (heat lamps are *expensive* to run, plus somewhat of a fire hazard).
If the shed is metal, however (as y0u mentioned in a later post), you probably DO need to insulate. Not only will it get just as cold as the outside air, and it would take a huge amount of expensive heat-lamp use to change that, you will get bad condensation (frost) and humidity in there. Humid winter air is the big "kick me" sign for frostbite and respiratory problems.
Honestly, a metal shed is not a particularly good coop in places where it gets real cold like this... if there is ANYthing else you could use, it'd be preferable. If not, I'd suggest saving up those pennies to insulate it, even if all you can manage is sheets of plywood. The ceiling can have rigid foamboard glued to it (not that expensive for a small shed) - just make sure you get an adhesive that is marked as ok for use on foam, as some will dissolve the foam instead.
Good luck,
Pat