As I understand it, moving air will increase the rate of heat transfer between the air and the object (e.g. your car radiator). By the same analogy, trapping air (such as fibreglass insulation) will reduce air movement, thus reducing rate of heat transfer. However, the object will not be colder than the air temperature unless it was colder to begin with and then the air will warm the object. In the case above, the "moving chill factor" is actually a "moving warm factor" where the air is warmer than the battery. Outside any other factors such as evaporation (Swamp Cooler), self heating and so on, the object will reach the air temperature faster with moving air.
It would be nice if the ICE were to divert its excess heat to the battery to warm the battery on cold days increasing its effectiveness. I understand that the heat pump has the ability to cool the battery in the summer to prevent overheating. Wouldn't it be advantageous if the reverse were true so that the heat pump & ICE could warm the battery in cold temperatures thus increasing the battery effectiveness and protecting the battery in extreme cold.
I appreciate direct drive mode once the battery is no longer able to drive the electric motors due to charge depletion. By driving the front wheels directly from the ICE, the losses in converting mechanical energy from the ICE to electrical energy for the motors and/or chemical energy in the battery and then back to mechanical energy for the wheels is eliminated. If direct drive no longer operates, then you have lost the efficiency of direct energy transfer. This would explain the decrease in your fuel economy.
The principle advantage of a PHEV is to make use of the efficiency & capability of electric motors, recovery of lost energy from momentum changes and the use of electrical energy from more effective generating stations to power the electric motors using the battery as a storage system. What is effective - we can each define that personally such as overall thermodynamic efficiency of power use, source of power such as solar, hydro, nuclear, coal. CH4, convenience, comfort, financial economy and so on.