It is harder than it feels, and that is fine
In real cold your body burns extra energy keeping your core warm, your heart rate tends to drift up a touch for the same pace, and very cold air can shave a little off your top-end aerobic ceiling. Translation: a winter effort can cost you more than the same run in mild weather even when the watch says you went easy. That is not a reason to skip it, it is a reason to run by effort and not get cranky when your cold-day pace looks slower.
The upside is the part nobody tells you. Training through the cold makes you tougher in a way the treadmill never will, you learn to handle bad footing, and you build the kind of mental callus that pays off at mile 70 of a freezing hundred. Heat is dramatic and dangerous. Cold is mostly a logistics and clothing problem. Solve the logistics and the cold becomes a competitive advantage, because your competition is inside on the couch.