Yes, this happens. No, there's nothing you can do about it. You can pee on the cassette, but that doesn't last long. The fix is simple, though: pee on it, get it in a good SS gear, a 17 or 19 cog, and leave it there. The one cog with the chain will always run OK. Another thing I notice in such weather is that my rims will ice. Once that happens, braking is not good. Not good at all. The Flintstone method give better results than the levers. Another thing is that my glasses will ice, so I pedal one handed, while the other hand scrapes ice so I can see. That is not good, either. Not good at all.