I've made a couple of scenarios for WiA and tested them a lot through winter turns. A few months ago I emailed Pocus to complain that the AI was plotting too many winter moves only to see the next turn that she had decided to go for caution and move all her units inside structures (the trigger was once they had taken a small amount of hits from poor weather). So it seems to me now that the AI has improved in this respect - but it would be interesting to know if players still find a problem with AI aggression in winter.
It can also come down to the design of the scenario as scenario designers should also change the AI settings so she is less aggressive in the winter.
For a scenario where there are no problems try Pontiac's War (if you play as the British) as most Indian units are locked into winter quarters come late fall
Cheers, Chris