I never lock mine in the coop or run because of weather. I open the pop door and let them decide what they want to do. If a cold wind is blowing mine stay out of the wind. If the wind isn't a problem mine are out roaming in temperatures below zero Fahrenheit.how cold is too cold for this? When should I keep them in their tiny coop and run?
Mine do not like waking up to a white world. If it snows overnight they don't go out immediately. But with the pop door open some usually do in a day or two. I leave the pop door open and let them decide. I think having something to forage helps get them out. Since yours free range they should have incentive to eventually come out. Just give them the option.
One risk in cold weather is frostbite. Living where you do, you should know the association of wet and frostbite. If your hands or face are dry frostbite isn't a huge risk, not compared to if they are wet. Same with chickens. The biggest risk of frostbite is on the comb and wattles. You want decent ventilation in the coop so the moisture from their breath, their poop, and thawed water can escape but you don't want a cold wind hitting them. There are different ways to accomplish that, an easy way is to have ventilation openings up high so any wind through them are over their heads.
I've seen chickens sleep in trees in weather well below zero Fahrenheit, -10 was about as cold as it got. They were out of the wind up there and you could not ask for better ventilation.