I would say keep it down makes more sense as there is less chance of water getting left in the powerhead which is more likely to cause damage if it freezes.
As for the ice forming around the leg if you had a couple of plastic barrels in the water either side of the leg they would probably absorb some of the pressure exerted on the leg by the ice expanding.
Finally and a rather contravertial option is when the engine is idling at the end of a run in the boat trim it up out of the water for a few seconds until the water stops coming out of the teltale then switch off and lower it back down again. I have a freind in Cornwall who swear that doing this in seawater has worked for him for years.
Please note--- I dont do this myself as I never have my boat on the water for more than a few days at a time so am always able to flush it out on the trailer. However if I did want to keep the boat on the water for a whole winter in the conditions you are describing I would have to weigh up the risk of damage to the impellor agains the risk of damage to the power head.