For Japanese bantams, they have a very small body, and not as much fluff compared to other bantams. I would probably try to keep them at 20F and warmer. So, for temps lower than that, yes, heat would be a good idea.
Heat lamps are not great, especially if you have gusting icy wind. I once opened my coop door, and a gust of wind from the open door made the heat lamp shatter all over.
Heat plates that hang on the wall, heating mats (like those used in dog kennels), heat tape (if covered from chicken pecking), and engine block heaters (if put between pavers or tiles), can all be safer options. All though still have to be checked regularly, kept clean, and watch the plugs!
No to sealing up the windows. That will increase moisture and increase frostbite risk as well as increase risk of respiratory illnesses. Keep a large window open. Usually if only one side of the coop has vents, then the wind does not blow through.
Insulation is great if you have lots of wind that hits the coop. If you don't have lots of wind, it can still be good, but not as important. Roof insulation is usually more important than wall insulation since 1. Insulating the roof reduces condensation and humidity issues and 2. Less likely to get a bunch of rodents in the roof insulation and 3. More heat goes out the roof than the sides.
I have never found the vaseline thing to be useful.... I rather think it makes it worse.
If you are set on not losing ANY of those lovely comb points... maybe you need him in a closed up heated building with a great air exchanger to ensure fresh air. I am not sure there is any other way to keep the points perfect in those temps.
I do know people in interior Alaska that keep poultry in completely locked up and heated housing with quality air exchangers. So it can be done... you just have to decide if you want to.
BUT, if you close up the coop and heat it up to 35F or whatever...you NEED some kind of air exchange.
That completely depends on how much snow tends to fall where you are.
You could make a wood frame on top of the kennel, or one supported by posts that just surrounds the kennel... or whatever... to make a sloped roof...
But, if you only use a tarp flat over the top of the kennel, a big heavy snow fall that falls while you are at work or asleep, can easily bend and bust everything.
How likely that is where you live...no idea...
Yes. That would work. Just remember rodents. Either make sure that they can NOT enter the coop....or cover up the insulation in such a way that rodents can't get past. Or... screw on the insulation covering so you can pop it off to replace insulation after the rodents find it.