A constant freeze and thaw is extremely harmful to plants. Snow is nature's own mulch. It is free, self distributed, and requires no messy cleanup. The goal is to make sure that whatever happens to a plant happens gradually, not dramatically. The fluffier the better.
All insulation is based on the ability to trap air.
Wetter snow, or more densely packed snow will have less insulation capabilities because it has less trapped air. A snow shelter heated with only a body and a candle can maintain 65 degrees Fahrenheit when the outside air temperature is -20. Fortunately for us hosta and ornamental grass enthusiasts, one of the ways that winter kills plants is not an issue. For plants that maintain live but dormant tissue above ground they must worry. However the roots are frozen unable to supply needed water to the above ground tissue.