I have never grown Knock Out Roses because they are grafted. Non-grafted roses (called self rooted) can die to the grown and come back from the root year after year. But if you are growing grafted roses, including Knock Out, mulch heavily. As in foot deep mulch. Prune in the spring after the plants leaf out.
If you prune a Knock Out Rose (or any grafted rose) to the ground, you will have the rootstock next spring (because you threw away your plant). If you prune in the fall, you are asking for a lot of dieback. The pruning doesn't cause the dieback, the cold does. But if you prune 2 inches off and the cold kills 2 inches, you've lost 4 inches of growth. If you prune in the spring and 2 inches have frozen, you can cut that two inches off and end up with a bigger plant.
I live in zone 6 but here in the high desert, plants don't get buried in snow because it doesn't snow all that often. We are dealing with dry cold. It can take a plant out fast. Grafted roses don't survive.
