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Well Sharp it may surprise you but we have a ski resort right up the road here in Reno. It's been near 0 degrees some mornings when I leave for work.
If left overnight and fully allowed to cool under freezing temp then it should engage. Again check your owners manual.
If it is set up that way (I am thinking it is) then you should manually shift out of it until it warms up. Remember that oil takes longer to warm up and cool down than water or in this case antifreeze/water.