Answer: Winter survival depends primarily on plant selection (appropriate to your zone) and in some cases on the insulation provided by snow cover and/or a winter mulch. Other factors can include wind and sun exposure as well as soil moisture and drainage and so on. In general, though, planting too deep will likely kill your plant.
The depth/size hole you dig will depend on the size of the plant you are planting. Container grown plants should be planted at the same depth as they are already growing. When planting bare root perennials it is usually best to plant so that the crown of the plant is at its natural depth, not too high (roots will dry out) and not too low (the crown will smother or rot). On bare root shrubs you will be able to tell where the original soil line was and you should try to match that with the exception of grafted roses as noted below.
Peonies will not flower if they are planted too deeply, so the rule of thumb when planting bare peony "eyes" is to put the eyes only about two inches from the surface. (You would of course be planting the base of a container grown plant deeper than that by the time you have dug a hole large enough to accommodate the root ball -- but the within that root ball the eyes would be near the surface.)
In cold regions, roses on the other hand are often planted so that the graft (if it is a grafted rose such as a hybrid tea) is under the soil in order to try to protect it a bit better from the extreme cold of winter. Roses grown on their own roots would not need to have this done. Since you are so far north you need to be looking for roses that can more easily survive your winter temperatures and may have better success with roses grown on their own roots.
I hope this helps the discussion!
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