1 - (same as Lorn) - Since the phase change of water (liquid to solid or solid to liquid) requires an enormous transfer of energy compared to a simple heating or cooling, the benefit of mulching frozen soil is quite substantial in regard to regulating temperature and preventing freeze/thaw cycles.
2 - (same as Lorn) - To delay spring growth and minimize late frost damage, by keeping as much cold in the soil for as long as possible.
3 - To minimize winter wet. Alpine species and most Lilium species are susceptible to cold, wet, unfrozen soils that can cause rot. A soil can be saturated with water, but if the water is frozen, then a plant reacts as if the soil is dry. The water is tied up in crystals and is not available to chemically or biologically interact. I depend on deeply frozen soil here, since my soils are clay based.
