I was also out yesterday in temps ranging from 6c to 0c. The cold warning message does appear at 4c and on mine, it goes after you acknowledge it by pressing "OK" - pushing in the menu joystick.
I did notice on the ECU map mode icon I also had a colour picture of a snowflake that I thought was a nice touch :-). I also tested the ABS and TCS on a manhole covers and can confirm they both work without drama.