The cut price brands use the cheaper recycled polyethylene of dubious parentage. It often can produce a more brittle wad that fails to seal in the cold. It depends on what the density of the polyethylene in that batch of recycled mix happens to be. Pay a little extra and buy brand name wads for winter. Also in winter, you might try adding another spoonful or two of powder.
Cold weather slows shells down a bit.
Switching to a hotter primer, like the Federal, is also often a good idea, but check the book. All powders become a bit harder to ignite when cold, especially the popular Ball process powders manufactured by Winchester. Winters can be windier, cold shells lose velocity and frozen targets are definitely harder to break. It is a guarantee that those targets have been sitting outside all night and they are hard as rocks.