I've had the same issue this year with my beautiful ameraucauna roo and it wasn't even all that cold and our coop is well Insulated...??? I also had a silver polish hen and rooster that lost the ends of their toes to frost bite-I'm amazed at how resilient they are..!!!
I think next winter I'm going to try putting a heat lamp or 2 in the coop just for some extra warmth!
I've gone through two winters now with my open air coop on a ridge top in northern Virginia - single digit temps, windy, lots of snow. We have only had minor frost bite on the big-combed roos, who refuse to tuck their heads under their wings at night. As others have said, the key to frostbite prevention is more often ventilation than heat. When I hear "insulated" coop, I immediately think too closed up. Here are pictures of my coop and breeding pens. They stay open like this all year round. The other picture is of two of my BLRW who were roosting by the open side even though it was 26 degrees (F) and windy.