When I first started collecting azaleas I had many of them in pots. And during the worst frost, I would move them inside an unheated shed.
Sometimes, some of them would simply not emerge from their winter dormancy. Just nothing would happen in spring and then when summer came it became obvious the plant was dead. I have not had this problem at all anymore now that I put plants in my garden in full soil. Luckily, we have had only very mild winters since. Except for the very strong frost spell of early march 2018. I don't remember seeing any signs that plants had struggled. But I think we used a cloth map to offer at least some protection, if not only from the wind. But I think it was the year before that my Haru no Sono was completely defoliated as the plant started pushing new growth very early because of warm weather in march, and then a late frost spell came somewhere in April and destroyed all the new growth. So then it had neither the old leaves nor the new leaves. But it started pushing a second round of new leaves anyway and survived fine.
I haven't observed anything like bark splitting off because of frost, which is something that is described for some satsuki cultivar and apparently very fatal.
Personally, I would be worried about having a plant in a tiny pot with tons of frost and everything freezing completely solid. Quite a lot of frost is needed for the entire top soil of garden to become solid. But apparently, this is not a problem in bonsai? I wouldn't dare to do this is a several hundred euro Japanese import bonsai for which I have no idea how hardy it is in Europe.
That said, if it does get cold enough, satsuki azaleas largely based on R.tamurae will be the first to die. Asahi no Hikari, Issho no Haru, Haru no Sono, Aikoku, Gyoten, etc. Plants like Kozan, Nikko, Chinzan, Kinsai, Osakazuki etc should be much hardier. R.indicum is significantly more hardy than R.tamurae. And it should rival kurume azaleas. Japan is elongated North to South and as a result they experience very different temperatures. And this is reflected in both species and cultivar. I don't know the fine details, but in Japan it is known which cultivar really dislike being in the heat of Kyushu all summer. And which ones really cannot handle the cold of the mountainous areas of Kansai or Hokkaido.