I'm no expert but thinking and reading about these shrubs I would tend to believe you obviously have been doing something right all along to get them to survive in a zone 4 area when they are only rated hardy to zone 5. I have one planted on the east side of my house and I offer it no protection at all. (I will be moving it away from the house this spring-far away)

I'm not sure what you mean by wooden snow protectors and what the purpose of those would be, but if it is to keep the snow off of them I wouldn't do it. I would keep as much snow piled on them as I could for the insulation. I've never developed the habit of using burlap to wrap anything to protect it. When my DH has to get out the snow blower I always remind him to mulch the beds with the blowing snow. He gets a kick out of this but it's an easy way to keep things covered and protected. :-)