The dryness might affect the saddle's leather if you do not treat it with Proofide.
think of the saddle as the organic item that it is. It is really just preserved skin. So you'd expect the dry weather to affect it similarly like your own skin, but to a lesser extent, of course, because of the tanning process. Whether subzero weather would really get it to a "freeze dried" state, and whether that is good or not, I'm not sure. Repeated seasonal subzero freezing/thawing might eventually break down the fibrous struture of the leather and could eventually mean a shorter service life but thst's just my opinions....