I don't use it inside the coop, but I have regular play sand (50 lb. bags from HD) in my covered run. It freezes. And even if it's not frozen, it's cold. I'm not sure it's a good choice for inside your coop. True, it would be less dusty, but let's all just be honest and say that chickens ARE dusty. And when you live where it's cold and they spend a lot of time inside, it's going to be REALLY dusty. It's part of the package.
If your chickens are of the type that don't like snow (like mine), they will spend a lot of time indoors over the winter. You want to make their space as hospitable, comfortable and warm as you can.
I prefer pine shavings inside the coop. They are very absorbent and easily tossed throughout the winter season to keep them from caking up. They will freeze too, if not tossed. I do it about once a week - takes 3 minutes. I put down a 6-9 inch layer in the winter, less in the summer. The pine shavings are insulating, easy on their feet and they like to nestle down into them when it's cold. Yes, they are dusty, but no more than the chickens themselves.
Good luck!