My observation also, but I have given up trying to explain it. I just know we can heat in the deep cold with deeps snow, as well as when it wasn't so cold with no snow.
These pics about sum it up for the Boston area http://www.buzzfeed.com/mjs538/please-stop-snowing#.opNgREzV6 My favorite, at least kids are having fun
I have about 6' of snow banked on the west side of the house. Been doing it for years to keep the house warmer and divert the winds. It helps tremendously.
Snow is a good insulator; I have noticed it as well, I have always thought it was the snow on the roof helping things out.
Nothing keeps out wind like snow, as Dennis said, many of the old-timers knew this. Snow on the roof does I think make the house warmer. At least it seems to for me.