Not at all.. its an excellent idea..
make a slot in the wall and build a small box/adapter to slide the hives against. The bees will come and go from the entrance, but the hive is inside.
Yes, you want it COLD to keep them clustered, but not SO COLD that they cannot move to reserves. The insulated shed will slow the temp change. Not such a good thing in spring, but an excellent thing in the fall and winter. 35 degrees in there year round would be perfect, but might be hard to accomplish without heating it or cooling it at different times.
As far as ventilation.. if you decided to have a nap in there you think you would die of asphyxiation? No? Neither will the bees. When spring arrives open the door and let the warmth in. JUST having those hives inside, away from the howling wind, rain and snow will make a big difference.. they will STILL need foam insulation on the top of the inner cover to prevent moisture condensation, but wrapping etc can be bypassed. i have found that popping the cover on a hive to check reserves and or add sugar/fondant is MUCH more pleasant in a building. There is no wind to chill the bees when you lift the cover etc..
bees that do escape into the shed? As mentioned, they will go to the light.. leave the door slightly cracked they will make good their escape. I installed a slid panel. When inspecting in the warmer seasons, i just slide it open. it is amazing. the bees fly up, circle around, and ZOOM through the opening.
Given a little time, i will have ALL of my hives in buildings. It makes working the hives more comfortable, I have less winterization needs, and the hive temps remain more constant in HOT weather and COLD weather. best of all, my equipment lasts a LOT longer on the hives within the buildings. In the event of a NASTY winter like we had last year, the hives are not exposed to 50 mph winds when it is -25 degrees.. the inside hives wintered SO MUCH nicer than the wrapped outside hives...