If your location isn’t prone to heavy snows or is prone to drying winds, supplemental winter watering is vital. Although your plants are dormant, they’re not dead-during dormancy. They still have some basic metabolic functions that must be driven with water collected from the soil. Roots are prone to drying in the winter, causing permanent damage to perennials.
As long as you water early in the day, the water you give your plants can actually be protective against night time freezes. The water in the soil acts as a trap for heat and helps the area around your plant stay a little bit warmer than the air as the night approaches. When coupled with insulated covers, this extra heat can protect your plants from damage.