I have same thermostat and was having the the same problem of cold weather performance until I switched to lithium batteries, no problems so far.
Dsrtrat
I think I have to same one in mine, have you noticed under 30deg or so it just shows "Lo" and won't initial heat when switched, on? Mine does that and it can be annoying, I'll pull it off and stick it in my jacket for a moment warm it back up when that happens. I've been thinking a bypass switch wouldn't be a bad idea to first fire it up when its that cold.