There's mixed feedback on this, generally speaking. You'll find some saying they provide different types of insulation, designed for either hot or cold climates. However, in my testing, they acted pretty reliably. I built two structures in the Frozen North, one from Black Ice and one from Insulated Wood. Without armor, I was at the "Very Cold" temperature, and when stepping inside the build, I was at a comfortable temperature. This limited testing indicates that Insulated structures do provide some protection from the cold, though it seems all materials give some form of insulation regardless of type.