What is the cold viscosity difference between a 0W and a 5W rated oil at typical starting temperatures? What exactly does "water thin" mean in this context?Utterly incorrect. The winter rating of the oil is analogous to the viscosity of the base stock. Sure, PAO's and Esters can achieve a viscosity spread that partially mimics old school conventional multi grade oils. However, I promise the base stock of all 0W oils is very thin, and the VII's do not provide the exact same protection as a higher viscosity oil of a similar rating that is made without VII's. Both pour point depressants and VII's shear with use too. Leading to lower "in use" viscosity. Period, end of story.
Plus some 0W rated oils use less VII than their 5W rated counterparts. Broad suppositions as you made are incorrect at best, especially considering that all VII are not identical. Period, end of story, or however you wish to dismiss it.