Answer: The Knock Out shrub rose itself is quite winter hardy. However, with a patio tree rose, the Knock Out portion is high grafted at the top of the "trunk" and this exposes the graft to the cold weather -- normally as a shrub rose it would be grown on its own roots or, if grafted, the graft would be buried and insulated well underground. That exposed high graft is why the retailer would be concerned about overwintering it successfully. In my experience in your zone 5A or the coldest part of zone 5, it definitely would not survive the winter outside planted in the garden.
There are two ways you could protect it. Once is to maintain it as a container plant and bring it into a sheltered area, cool, dark place such as an unheated basement or garage where it would be cold but the soil would not freeze, say about 40 degrees. Bring it inside in late fall and take it back out in early spring so it can wake up naturally with the season. Keep the soil just barely moist (meaning do not let it go bone dry) while it is inside, and do not fertilize it during the winter. The darkness helps prevent it from trying to grow while it is inside. Cut the branches back quite hard in the spring (do not damage the graft) when you take it back outside.
The other option is to bury the plant horizontally in a deep trench and cover that with a heavy layer of mulch. If you do this, you can bury it container and all, or if it is planted in the ground, you can cut the roots on one side so it will bend over and you can bury it. Do this in late fall and dig it up in early spring. Prune it by about half (just the branches, do not damage the graft) in the fall to make it easier to bury, then prune a bit more in the spring when you raise it to tidy it up.
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