I have a Prius since September 2007 and I live in Toulouse (France, south-west).
The climate is not so rough than in Ontario, but with get sometimes under 0°c during December/January.
I agree with you, the Prius consumes more fuel when it gets cold, about 0.5 L/100 more each time it get down of 15°c.
Currently the temperature is around 5 to 10°c now and I have 5.6 L/100.
At Chrismas we got -5°c in average and it was 6.1 L/100.
It's less true with thermic cars but for Hybrids the thermic engine has to keep a minimum T° because it can start at any time and wouldn't have time to get hot. You can not sollicite power before the engine is not hot enough. And when it's cold outside, the engines cools quickly, so it needs to run more often to heat... So you understand why cold is the enemy of hybrids
"The A/C automatically come on when i push the AUTO button for the climate", it's normal. "Automatic A/C" doesn't mean to produce cold anytime.
When it's cold outside and you set for instance 22°c as consign, it will heat not cool the car !
I have no experience of rough start by cold but if it's the first season you have such problem over 3 years, the reason is maybe elsewhere. Ask to your support/garage. For sure synthetic oil 5w50 may help when it's cold.
I hope it helped,