I live in Ohio, same situation. No problems with cold weather besides coolant freezing. I use a mister, so if the air temp is below 40*, the coolant freezes at the tip of the mister due to expanding gasses laws. (adabiotic process=spell check)

I would check the alignment of your ballscrew. I also use the Elrod retro, which I believe is what you have on your mill. Make sure the screw that clamps the ballnut to the quill drive is not too tight. It shouldn't be an issue.