I think the way we experience winter is so different than ducks that it can be challenging to relate with them. My winters aren't as cold as yours, but we still get into the teens for a few weeks. When it is that cold my ducks go happily swimming in ice water for at least a couple hours a day. There are literally huge chunks of ice floating around in their pool and my ducks are joyfully splashing around. After a quick shake off and preening session they want to go on a foraging walk for a couple of hours, while I am bundled up so thickly I can hardly walk, drinking my steaming tea and shivering like crazy. I stay outside for as long as I can tolerate, trying to be a good duck parent, and then force them to go back in their aviary. Do the ducks go back into their cozy straw padded barn? No. They get back into the ice water.
I understand how you feel and I am also tempted to put a heater in the barn with my ducks. Since they are fully feathered adults I refrain every year. The way I see it, the worst thing that is going to happen if I don't put a heater in is that they are going to shiver a little and feel cold. The worst thing that is going to happen if I put a heater in is that they are going to burn to death. Coop/barn fires do happen and I just can't take the risk.
What I can do is make sure my ducks have very thick layers of dry straw. I give them about 6 inches of straw to nestle down in. I am extra careful to clean it out so it is never wet or poopy. I make sure they have the opportunity to eat plenty of nutritious food so they can keep up their own body temperatures. My ducks also have their barn available to go into during the day if they choose.
I would also avoid the petroleum jelly, since it will get on their feathers. When my ducks' feet get cold they just sit on them to warm them up.
I hope this helps you feel less worried.