I'm in Atlanta, so the winter doesn't get abnormally cold. But the current gauge goes down to 60 watts and I've seen the limited hover as near as 15 from the cold. The only worse I've seen is when the battery was full from a "Max Range" charge and braking was nearly disabled completely. When it's like that, I simply switch back to the normal brakes.
One thing to point out here is that driving in the Model S is "one foot driving." That is, the regenerative braking force enables as you reduce pressure on the accelerator. If done right, you rarely need to use the mechanical brakes at all. So, there's no actual reduction in braking capacity. The Model S doesn't just careen down the road. This simply affects the regenerative braking system.