Concern is what if heat fails/pipes freeze.
I am in South Carolina, where winter doesn't last as long, but subfreezing temps are common during Jan Feb.
It's a concern if you lose power, or the heater dies.
I noticed one or more of the newer spas have positive drain design where all pipes will drain. Mine won't do that.
I guess you could use a a gas heat source placed at a entry panel to help prevent freezing in an emergency. The vast majority of hot tubs use electric heaters.
There should be no issue (other than higher power bills) if everything is working fine.
Actually, I much prefer to use my hot tub in winter than in summer.