When I first set out on a very cold day, the difference in dampening is very noticeable. Can be downright harsh. I have observed this to be true for all types of shock absorbers.
This does not last long, however, since they warm up quickly with use. Once warmed up, I have not noticed any seasonal difference in dampening. Not saying it is not there, just not perceptible to me. I wonder if shocks are designed to deliver pretty much 'steady state' dampening within a given temperature range. Some sort of viscosity compensation would be part of a sensible design.
1986 300E 5-Speed 240k mi.