A bonsai must experience all the changes in seasons that they would have been subjected to in their natural environment. But, a bonsai has only limited growing medium and needs extra protection from wind, sun, animals, and wide temperature swings.
Winds dry the trees.
The sun burns. Animals can destroy bark and roots. Wide fluctuations in temperature are very harsh for all container grown plants. Even an evergreen will lose moisture through its needles throughout the winter. If the soil is frozen the evergreen has no way to replace the moisture that is lost.