If you run the car until everything has heated up, or after keeping the car in a heated garage, does it do EV then?
This is basically normal behaviour. Under 10º the ICE will start up and run for a few kms to heat up the engine to prevent further deep cold starts at high revs and to provide initial heating -except for the older model trick described by Greendwarf. The lower the outside temperature, the longer it will run, despite the EV switch being activated - the switch is not an absolute one, if the software deems it necessary it will be overridden. I don't know what the settings are in extremely cold climates. It may well be that Mitsubishi has different parameters for different local conditions.
We do know from European winters, e.g Poland and Norway, that the lower the temperature, the more the car starts behaving like a normal hybrid and the less like an EV. At a certain point it will run on ICE only, there is even a cut-off temperature (-30º IIRC, but I may be wrong) that it won't run at all.
This is not done to protect the battery, but is caused by declining battery capacity with lower temperatures.
You are right that this type of car is not very suitable for extremely cold conditions unless it has battery heating.