We don't get very cold winters over here in the Seattle area, so I can't speak from experience with our spa.
We have a Marquis Euphoria, which is also a FF spa. There is nothing more than a thin air barrier between our equipment compartment and the tub of 101°F+ water, so I'm sure it helps keep things just a bit warmer in there. Another thing that probably helps is that the spa has a heating mode that runs the primary pump on low for a couple minutes every half hour to check the temperature. So obviously, I don't have much to worry about in our relatively moderate temperatures.
On the coldest days, I'm sure it wouldn't hurt to block off any vents and it could very well help. However, I'd really like to get input from the manufacturer before closing/covering/blocking any vents.
All the best,
Tim