I use it up in Scotland (NE too, we get -20!) and altho I dont think it is specially warm, as I dont deep bed it, it is great. Also horse are reputed to get most of their warmth from the forage they eat, rather than from rugs/bedding. Certainly my big chap is a lot more settled and less messy with nice big imprints of him having had a settled long lay down on the wood pellet bed than when he used to have a deeper shavings bed.
I do mix mine with about 25% hemp (Aubiose) for extra absorbancy but only cos my mare is a wee monster....
Thats good to know as he's really messy and that was going to be my next question, he box walks and burys poo so have him on straw as I can muck that out properly everyday, shavings was a complete nightmare! Thanks