Mulching moderates the soil temperature but does not "warm" the plants. What you want to do is keep the soil temperature stabile so the freeze/thaw cycle does not heave plants out of the soil and expose the roots.

First, I believe there is an error in your hardiness zone. According to climate data for Prineville and zone maps based on zip codes, you should be in zone 5 (as is Bend and Madras). Why the GW zone finder should report a zone 3 is a bit of a mystery and is certainly not confirmed by any other zone source.

And "high nitrogen" mulches are relative :-) Grass clippings are only about 4% nitrogen, which is pretty low. Compost is typically even less. And neither of these sources is considered to provide immediately available nitrogen, as both require conversion by soil organisms and the decomposition process to release the nitrogen. Even fresh manure (cow, horse, etc.) is not considered a high nitrogen source but because of the available nitrogen in the form of urea (and nitric acid, ammonium nitrate and sodium nitrate), it can cause 'burning' to delicate plant tissues.

Mulching with either grass clippings or compost for winter will not 'burn' plants. It can provide soil insulation, moderating temperatures and protection against freeze/thaw cycles in soils that are prone to freezing. Like any other soil mulch, you want to avoid piling up against trunks or woody stems and excessive mulching with a heavy, moisture retentive mulch over the crowns of perennials can encourage rotting. Best to just mulch to the edge of the plant or use a lightweight mulch (like straw, dried leaves or pine straw) over the crowns of plants.

Excellent. Thanks for the clarification everyone. Also, I'm not sure why Prineville is listed as a zone 3. I do know that our temperature fluctuations in the high desert result in the need to have some very hardy plants.