I live in northeastern Wisconsin. My coop is a concrete room off the back of the barn, partially buried by the dirt ramp to the haymow of the barn. During the winter, it will drop down to -30*F for a couple of days to a week. I find frozen eggs in the nest boxes after work on the really cold days.
I do not heat my coop. It is large enough that my birds don't seem to have problems when they stay in there 24/7 for weeks at a time because I haven't shoveled any trails for them to walk in since this bunch of Diva won't walk in the snow. There are times that the walls of the coop are covered with frozen ice crystals from the humidity from the birds, but that is because it is hard to get enough ventilation in a concrete room. I had a little frost bite one year on a couple of the birds with really huge combs - they lost some points.
This is how I figure it: If I don't heat the coop, the birds grow thick down feathers under their outer feathers to help keep them warm and they can take the cold temps when they go outside to scratch through the leaves I put in there. If the power goes out, they sleep late because the light doesn't come on in the morning, but they are still comfortable because they are not dependent on artificial heat. If I heated the coop for them, they wouldn't grow a "winter coat" and if the power were to go out, they would suffer.