I have run and crosscounty skied through very cold conditions for years and this is what my experience has taught me. But I have never read anything about this and a quick google didn't address it. So I am interested in reader input on this somewhat taboo subject.
We still need to be very careful and smart but we ARE less likely to suffer from frostbite.
Ever notice at the beginning of a ski and to a lesser extent a run, your hands, feet, and face could start burning or become even numb from the cold during the first 15 minutes. But as you continue to excercise you warm up significantly. After a short while you can even take off your gloves and hat, even though when you started they felt like they would be frostbit if you didn't stop.
Two obvious reasons (1) A by product of burning glycogen for energy is heat (2) As you exercise your circulatory system opens capilaries and send warm blood to fingers and skin surfaces.
We have all experienced this protective effect but we never read about it. You are more likely to get frostbite, watching an outdoor football game, than running outside in very cold weather.
Now the qualifier - yes frostbite is a danger to runners so we still need to be careful.