I don't some freezing will hurt them, they certainly freeze here. They're planted shallowly with just an inch or two of soil over the crown and the roots radiate horizontally. The soil here only freezes at the top couple of inches, but the eremurus don't seem to mind.
If you do grow annuals in the container, something with lower moisture needs would be good because eremurus don't like too much moisture- especially when they go dormant shortly after blooming. The annuals will probably usurp the moisture quickly, so that actually may be a benefit.