It was 8 below here yesterday morning, still about 0 now, there's no friggin way I'd brew outside. Winter brewing inside in cold country without ventilation isn't entirely without snakepits, last winter I did a monster brew that took 2 full brew days with extended boil times and a 3rd day for the partigyle. The next day I discovered sticky condensate all over the walls, which was especially bad on the outside walls, that took most of another day to clean up. After that I decided that installing an exhaust system was a priority and intended to get it done this past summer, and of course I never quite got around to it so I guess either I forego big beers until warmer weather or resign myself to scrubbing walls.
I'm using an electric system now and I'm very happy using a steam condenser indoors (https://www.brewhardware.com/ProductDetails.asp?ProductCode=SteamSlayer). It takes all of the humidity out without removing large volumes of air (i.e. your heat). You will still smell the beer (a plus in my opinion!) but there is no residue that lingers without the condensation. If you're using propane burners I'd still suggest a vent hood for safety.
Interesting looking gadget, not something that would work for me though as I'm sticking with gas, and the reduced evaporation from having the lid on would require retooling all my recipes.
The loss of conditioned [heated or cooled] air due to the exhaust is something I have considered, initially I thought about bringing in make-up air through an air to air heat exchanger, but since the HE would generate a goodly amount of sticky condensate and be in an unconditioned space [the attic], I've backed off from that plan. I'm pretty sure I could figure out a way to make it work, but I don't know if it'd be worth the trouble.
As for no chill, I don't doubt that it works well most of the time for most of those who employ it. Is there an associated elevated level of risk? Almost certainly. Is that elevated level of risk significant? That depends on an infinite number of possible variables, but I suspect in most cases it isn't. The trick is knowing which time you're gonna be unlucky, if you're not willing to take a chance on having to dump a batch then by all means play it safe. If the possibility, remote though it may be, of having to dump one is a risk you're cool with then carry on with no chill, who knows, you may never have an unlucky day.