One of the main weathering mechanisms in nature is freeze-thaw. When water freezes, it increases its volume up to 10%. If this water is hold into a closed volume, the expansion will likely destroy this volume. Just remember what happens when you are in a hurry and put several cans of bier (which is mainly composed of water) in the freezer, and then you just forget them. Next days you find a nice mess of frozen bier and burst can in the freezer drawer. With rocks happens exactly the same. All rocks have pores, which can range from big cavities to microscopic holes. Pores can be isolated on the rock matrix, or connected between them. When pores are isolated, water does not flow across, and the rock is considered waterproof. On the other hand, if pores are connected, water flows. Hence, impermeability does not depend on the pores themselves, but on their connections.
In our slates, pores are very small, microscopic, and there is no connection between them. Roofing slate is then waterproof. This is an evidence; we all know this. After several years working with this rock, you get to know its physical properties. Therefore, when temperature reaches the freezing point nothing really happens on the slate matrix, since there is no water that can apply pressure from the inside. In fact, after several freeze-thaw cycles, slates even become harder, due to a recrystallization process in the rock matrix (See Effect of freeze-thaw cycles on the bending strength of roofing slates, published in Engineering Geology 2012).
Only roofing slates of different nature, like the metalutites from Brazil, might have some reaction to freeze-thaw cycles. My recommendation for cold climates, like the Scandinavian Peninsula, or the north of the American Continent, is to use real slates, phyllites and/or mica-schists. Any of these rocks on your roof will give you decades of peace of mind.
Víctor Cárdenes Van den Eynde