I've used without any issues at all an MSR wind pro in -15 last March in snowy condition in Scotlands. Damn it was cold, the stove worked like a charm though.
I have come to learn that 'any' stove which sits on top a gas canister is a bad move, remote canister is the way to go without a doubt. You can turn the canister upside down when it gets low, which works like a treat. Or, pinch those nigh on empty canisters off your mates and use them.