Yes for a true expedition into the cold I would bring a bag rated for the conditions.
But then like air conditioning if it is cold enough (<10F) to have the furnace run near continuous I am looking for utility power. Not just the furnace but for the electric tank heaters, hot water circulation, and a space heater. Then I am out looking for propane in the very cold as often as gasoline in the heat.
So yes I try to avoid off-grid camping in those conditions. And yes when I was younger I have snowshoed into the wilderness with a backpack.