Our coop is insulated but not heated. We gave them a heated dog bowl in the coop, and that was about it. Over the winter I had three Speckled Sussex roos, and all three did get frostbite to some extent on their combs and wattles, but the damage was superficial and healed up with liberal applications of Bag Balm. I have one roo left, and he shows no trace of damage now.
At the moment, my coop's walls do not touch the roof. It was built like that to improve ventilation, but we're thinking that it may have caused a draft up high that could have contributed to the frostbite. So, we're going to change up the coop design somewhat by sealing up most of the open area between the walls and the roof with flashing and putting in vents, which will cut down significantly on any drafts, allow adequate ventilation, muffle the roo a bit if he decides to crow from the highest roost in the middle of the night, and improve predator protection.
Speaking of predators, my nephews eliminated the raccoon that killed my sister's chickens. They saw it skulking around the coop yesterday at dusk and trying to get in the way it had before (no longer possible, fortunately), and set out a trap. Once they caught it, a pistol shot took care of the problem.