I wonder if there are different varieties of rosemary? We have huge rosemary bushes that have thrived on years of bad (in UK terms) winters. Our sage bushes take a bit of a hit but recover in springtime. Thyme really suffers in the cold.
I don't know - I too have an ancient rosemary plant which is almost a tree. Last summer I planted some rosemary (a little plant) in my friend's back yard. Its quite different from my rosemary - very soft and you can eat the stalks. Mine is very woody and you certainly can't eat the stems. I think it may just be that the one I planted for my friend is a baby plant. As such, I suppose it could be more vulnerable to cold.