I don't play in winter areas much but I spent a whole winter in Windenburg very recently and not a single Sim died. Not even outside the gym.
That said, I avoid places like the Star Lounge during winter because I realize it would probably cause issues.
I also had another weird bug before reinstalling the game: Twice in a warm area (Oasis Springs in Spring) a Sim would come into a bar (once) and into a gym (once) blueskinned from freezing (despite the temperature outside was just chilly, not freezing), turn into an ice block and die indoors. I have no mods to speak of (at the time I only had MCCC).