Without their feathers, they are as protected as any naked human would be in the cold. Normally, feathers are used to trap air against the skin, warming it and providing a portable layer of insulation. It is for this reason that I don't even like seeing frizzled or silkied chickens completely unprotected out in the cold, ESPECIALLY smaller birds (the tinier the body the harder a time they're gonna have,) though that is an unpopular opinion. Additional things to consider beyond chicken clothes might be coop heating (radiant heat panels are a safe, low energy consumption, no light option) and some Silkie friends to sleep with since neither bird can roost, and then keeping them cooped up in the very worst of weather (for ex: sudden temp drops, very wet weather, sleet, flooded and frozen run/range area.) However, if you live in a place with severe/long winters, or generally cool temperatures, I really don't think Scaleless would be a good choice.
I've been so worried over what it will mean for the welfare of future chickens if I start producing scaleless that I've decided I'll be breeding my particular line for temperament and size before all else.. I want them docile and small. A small, sweet chicken is a chicken you can keep bring indoors without much fuss, it wouldn't be a hard decision if it was an outdoor chicken, and goodness knows I adore my house chickens and would recommend them as such. That way people who want a scaleless as a novelty will be less inclined to just.. get them and leave them to run with their layer flock, hoping they will do well in their wisconsin winters with no help or something, you know? Because if people who got scaleless birds from my efforts start getting their birds killed via exposure, I'd feel partially responsible and never forgive myself.
Heat stress is the big monster in my area. It can delay growth and onset of lay in a big way, and can stop egg production dead, which is inconvenient because by the time it gets cool enough for them to start laying again (here that can be as late as mid nov.) it is time for a molt. Scaleless will still feel the heat but they will shed it like no other bird can, and you can provide cooling and enriching things like sprinklers and wallowing pits without having to worry about bad things like stripping feathers of their oils and inviting lice or fungal rot! Also without feathers, they're much, much more unlikely to get anything like fly strike, have wounds go unnoticed and untreated, and so on.
I think the name Scaleless might also be derivative from the fact that a feather is simply a modified scale, which explains why one gene affects both! I love telling people it is called scaleless because they don't have scales on their feet, though. They always gape at me and give me some variation of "THAT is what they named it for, not the elephant in the room?!"