One big benefit to the Euro nymphing in cold conditions is the fixed length of line. Very little line slides through the guides and so less ice forms. When you indicator nymph, the tendency is always to cast a little more line out to make your first big mend, then take in the slack. All the mending and line handling makes for icy guides and hands.
However, an indicator provides the super slow and suspended drifts that Euro nymphing cannot. Euro nymphing by its nature is leading the fly through the drift, however slowly, in a slight pendulum arc from the tip of your rod while keeping the drift as parallel as possible to the stream bottom. In the winter, the fish often want a suspended fly that is not moving vertically at all, and I think this may be impossible to achieve Euro-style, or at least not as easy to achieve. Also, one you set up a long indicator drift, you are free to keep one hand warm in your pocket, and you have to cast less often.
Take for example last Friday when I fished in Westchester. The fish were deep midging in water that was barely moving and doing so upstream from my position. I could not wade further upstream. I don't see a way to Euro nymph that situation unless you grease the sighter or use a dry dropper.
I think a good strategy for winter fishing is to indicator nymph the slow times, then if any sort of insect activity (midges) is seen, try to move upstream and Euro nymph in the current.
A final point: the Farmington has not provided many opportunities for fish-catching comparisons lately anyway (unless you are sneaking up there without telling me), so maybe part of the jury is still out.
I hope my explanations make sense.