The very cold lube (during very cold starts) does not circulate as well, but it's fairly minor relative to the next topic ...
The big issue for many cars/diesels in really cold temps is fuel wash; it's over-fueling of the cylinders to assure combustion during those very cold starts, and the consequence is fuel washing lube off the cyliders, increaseing piston/ring/cylinder wear.
Gone is the mentality of letting a car "warm up for 15 minutes". That's ol' skool thinking.
Here's today's reasonable approach:
- start it up
- let it run through it's "high idle" flair (which lights off the cats; typically 30-90 seconds)
- wait perhaps 15 to 30 seconds after the idle settles to normal
- double check your oil pressure gage or light; make sure the lube system is at least indicating that it has pressure
- drive away in a safe, sane, normal manner
This way, the engine will warm up faster under load than sitting idling in the drive for 15 min.
There is a balance to be struck; drive as soon as you can, without undue stress on the engine.
There you have it.