My stall coops, think old school 1/2 wood walls with wire on top, always got below freezing in the winter. Not uncommon for Denver to have a week or two of single digit weather every winter. Never had problems with frostbite and never lost a chicken to the cold. An enclosed coop will not be toasty warm in the winter. You will still need Carhartts, gloves, hat, boots... Your water will still freeze without electricity. At best the inside temp will be a few degrees warmer than outside. Remember that you will have large openings up high to vent the moisture rich air. You do need to protect them from the wind as it will compromise their ability to fluff up and keep themselves warm. They are wearing down jackets they just need the ability to fluff up their feathers and trap a layer of air that they heat up and keeps them warm.
Predators, that's a different issue. The construction has to be strong enough to withstand a hungry predator. The materials you build with need to be attached to the frame in an unbreechable manner. Every last insignificant gap needs to be reenforced. Coops are broken into just as frequently as the run. Wood often breaks before the hardware cloth fails.
Breeds? No not all breeds will do well in your winters. Silkies and Mediterranean breeds don't do well in subfreezing weather but that's your job to select breeds that are best suited for your climate. Stick with small compact combs and waddles. Stick with the dual purpose larger bodied hens. They also tend to be less flighty and a better choice around kids