I have heard that the bigger issue is cold coming through the door and frost buildup on the inside of the house. Need to make sure the door is insulated or has some special kind of thermal sealant. Has anyone else heard about this problem?

Having lived in Montreal and Toronto and even with their cold and dampness, lots of people have these types of doors and if concerned about the cold - look at manufactuers' details about being an energy star approved door. If concerned about the wrough iron, I would think that whether it's a color or warm climate, the iron will eventually have to be retreated or painted.