Thank you all! I do feel a little better, especially from knowing you are a neighboring state and already experienced -15 in an unheated coop, song of joy. I am going to definitely keep an eye on that window, thanks for telling me about that! I do open the coop briefly to remove the largest poo and feel the inside walls to make sure they aren't sweating in the mornings. So far, it's been bone dry.
Snaffle, I often for mites and bugs. They are constantly dust bathing, and I put a bit of DE in their favorite spot. I am pretty sure it is a molt as two just went through the same thing and are fully feathered. One is already growing back her feathers and is nearly finished getting back in them all. One just started about a week ago and is missing quite a bit of feathers. But she isn't naked, you can see a lot of down still on her breast. She seems to be okay, but I did notice she spends more time in the coop.
Hearing sound advice from you all is helping me cope a little better. I'll listen to my gut about the heat lamp being unsafe for my setup and just keep an eye on the girls closely.
You've been given good advice here. I'm in your state and getting the same or similar temps and my flock is fine. I have two birds molting as well, but no issues. It sounds like you've been doing fine. Let the people who try to guilt you cope with the results of overly pampered flocks and you just keep truckin' with your hardy crew.