I don't recall ever cancelling a dance in the Twin Cities on account of weather, certainly not winter weather. We have a policy for an instant cancellation in the event of a tornado warning or a loss of power at nighttime, but I don't think it has come up since we instituted it.
On the other hand, we don't get a lot of big dumps of snow like upstate NY; anything over 6-7 inches is pretty unusual, and 12 inches or more is a once-every-five-years sort of thing -- so the odds of it happening on dance night are pretty low. It does get cold here, but we had a night with 30-40 below wind chills a couple weeks ago and the dance went on as scheduled. We didn't even bother to post an announcement that it was still on.
David