I bought a Black Lace from my local Costco here in Sherwood Park, Alberta three years ago and although we are Zone 3 as well, it survived without any protection besides about 4" of cedar mulch around the base.  Last year I bought another one and it wintered fine as well.  I guess it's a good thing no one told me they wouldn't survive here, because I probably wouldn't have purchased them, and I'd have missed out on this beautiful plant.  It dies right back to about 6" from the earth, but the oldest one is already about 4' tall and as wide this year, and loaded with blooms.  I wonder why some of us have had such success with this plant, while others have been unable to winter them?  I find that very odd.  Does the mulch play a role, do you think?