True, you may not notice much viscosity change on the 0W-20 but what about the oil in the t-case, differentials?
It will get "thick" but the actual efficiency loss will be limited to the first few hundred feet.
Story time:
"Once upon a time (I was designing the hydraulic system) we had some equipment that would be operating in two different places. One was the North Slope of Alaska and the other was in Antarctica. We were noobs when it came to extreme cold weather design. Sure, our stuff was operating in cold climates but this was really cold!
Anyway, we had this grizzled old wizened project engineer. I was a youngster then all full of piss and vinegar. We had our initial meetings and operation in extreme cold weather was the topic. I had done my research and was confident in my selection of hydraulic fluids, thermocouples, in tank heaters, heat blankets for components, heat tape for hoses, etc, but my mentor looked at me and asked "What about the gear boxes?" Hmmm. I hadn't thought of that. I told him I would get back to him. I found out there was no consensus in the industry on gear box fluids for cold weather applications. They were all over the map.
We had just come back from a trade show (Vegas baby) several months before and one of the displays we had was a cutaway of a new gearbox we had designed and were manufacturing. I had the brilliant idea of putting thick clear Lexan over the cutaway, sealing it up, filling the box with our favorite blend and cooling that box down to "COLD" and experimenting.
So we built a box around the box, got a five HP electric motor and coupling to turn the input shaft and built a rudimentary refrigerator using a fan and dry ice. We got it down to around -65F. We took off the box covering the see through gearbox and the fluid was a big 'ol ice cube. We turned on the electric motor (we were measuring the current draw to determine force required to turn the shaft) and watched.
Well, the first couple of turns were tough! Here is the amazing part though: After the first couple of turns the areas right around the turning gears quickly heated up and turned fine. The adjacent areas though remained solid! We knew that was not the right fluid for the applications so we ran it several times with different fluids to see what would be optimal for our boxes. We ended up using a synthetic blend. Now, we had a bunch of gears in there that needed to operate with no additional loads so that is why we went with a special blend. If we only had one gear set we could have used a normal fluid because, once you got the gears spinning, everything was OK right in the immediate areas around the gears due to heat build up due to friction. Now, if you stopped for 20 minutes you would have to go through the big power draw to get it started again though.
So, in our vehicles in extremely cold weather, the first mile or so will use more power but after that it will be fine.