In autumn I managed to frostbites on my arms/feet a few times wearing linen and woolen clothes.

Right now I have arrived in December.
Because there is noting much to do, I grabbed my axe, put on my fur clothes (a woolen coat too) and went out to the woods chopping some trees.
I soon realized, I can sleep outside without getting cold.
I can even stand around waiting the whole day, cooling down from "hot" to "rather warm".
And after a good nights sleep on the frozen river I awake warmed up "hot" again.

Is this possible with fur clothes? Or don´t you need at least some kind of shelter?

To be honest I was wondering the same thing. I basically spent the month of January deconstructing a njep camp and moving the logs and slender tree trunks to the river bank to move. I never once built a shelter, and slept outside every night. I had on a full fur outfit along with linen/wool clothes underneath.

In fact, if I add a woolen dress, woolen overcoat or an apron etc to my current outfit I actually begin to sweat in January outside in subzero temperatures for weeks at times.

I've not spent much time out in Finnish winters but it seems to me freezing to death would be very possible. Please correct me if I'm wrong.

With good clothing and enough food, sure you can sleep outside in the winter without any shelter. IRL it does increase your energy usage sure, but you won't get any problems otherwise.