There's been a recent change in the correct taxonomy of this plant- it is now correctly classified as Pennisetum x advena, a cross between P.setaceum and P. macrostachys.

It is semitropical in origin and intolerant of temperatures below 25F (-4C). In fact, it is generally considered not frost hardy as it does not survive any zone 8 winters that don't even drop that low. It certainly won't hurt to give it a try :-))

Seed viability of the various red colored cultivars is very low, to the point where it is considered virtually sterile. Plants are almost always propagated by division or more currently, tissue culture. I'd be extremely leery of any vendors purporting to sell seeds of this grass.

You might be lucky and get away with it in Cornwall if you are right on the coast there, as opposed to inland. I had it on the south coast near Eastbourne and it didn't survive for me, and we rarely got anything below -5.

I would put a thick mulch over the roots for the winter and see what happens.