Regarding fishing weighted nymphs/indicators. I think you have three ways to go. If the weight and wind resistance is minimal, you should be all set with a standard tenkara line/leader/tippet configuration.
If the rig you are fishing is more wind resistant, than heavy, I'd suggest going with a heavier tenkara line, preferably furled, to provide more mass to overcome the wind resistance. My fishing tends to be different than most, I often fish my fly damp, on a swing. I often fish a heavier, thicker line to purposely provide surface area in order to swing my fly. The rods certainly cast the heavier line with no problem, actually in alot of respects better than the lighter lines. Of course, you do lose delicacy, but that's often not a particular concern with me when fishing that method. I find a weight forward line configuration to be extremely helpful.
The third option, if you are fishing a heavier nymph, you might want to go with a lighter, single strand line, and in effect, chuck and duck, using the mass of the nymph to carry along the line.
That's one thing I've found about tenkara rods, they are very versatile in what and how they cast. The casting part isn't usually the issue, what can be the issue is how your particular set up fishes once it hits the water.
Regarding fishing in the cold. I've fished cold but not frigid. Fishing in the low 30's and high 20's tends not to be a problem with freeze up. Not that I've done it, but I'd be willing to bet fishing in the lower teens/single digits would. Besides, in my part of the world you'd have to worry about being attacked/attached to a steelhead. I've only accidentally tangled with one so far on a tenkara rod. Steelhead 1, tenkara rod 0. (ended up pulling the lilian off the end of my rod. No damage to the rod, but I did lose my entire line).
When I first read your question, the first thing that popped into my mind was what Chris addressed, getting your rod collapsed after a day of fishing. It's would not take much ice build up to gum things up and make life miserable. I can picture driving home in a blizzard, window open, with a 13 foot rood sticking out.
On a somewhat unrelated topic, I very rarely fish dead drift, particularly subsurface. When I'm fishing sub surface, it's usually a damp fly on the swing, I find myself watching my rod tip. I feel alot of strikes, but I also catch a fair number of fish which are indicated only by a twitch of my rod tip. That's not to say I'm not missing a ton of bites as well, who knows. I don't know if it's the most effective technique, but I'm happy with it.
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