A quick search for "wheel bearing grease freeze" gave me a few websites.
Rolling bearings handbook and ... - Google Books
Page 86 tells me that General Purpose grease can handle temperatures down to -40 F. High temperature grease can handle down to 0 F.
SKF Evolution Online > Axlebox > Lubricants > Transportation & logistics > Railways > Lubrication of bearings at low temperatures
"Most bearings will start to rotate eventually, even at –25 °C, if the engine or actuator driving them is powerful enough. In the MTAB train, the bearings were originally filled with grease designated for operation over a medium temperature range (–20 °C to +100 °C). As the locomotive starts to pull the wagons, the wheels may rotate intermittently or with extremely high friction. Heat is generated in the bearings, and the grease becomes heated as well. Now the bearings will indeed rotate. This heating-up process takes 60 seconds or less, still enough time to cause severe and irreversible damage to the bearings."
This article is talking about Sweden where temperatures go much lower than anything we experience in most of the continental US. (C versus F) In Canada I can see it might create problems.
Would someone from the north please do a simple test for us? Go outside on a very cold day, and jack your car up and see if you can spin the wheel by hand. If you can, "grease freeze" is not a problem and is definitely not hurting your gas mileage.