Andrius Simutis
Veteran
Ok - go out it minus 10, put on some gloves, it is the end of the day, the director is behind on the shot list, the light is going fast, pressure pressure pressure. If you can screw perfectly in such conditions you are a very cool cat indeed.
As someone who shot for many years in exactly those kind of conditions, there are other considerations at work there. If you're out in the freezing cold, you're also likely to be in nasty weather and then a matte box tends to become unwieldily and more trouble than it's worth. The bare filter holder systems don't work with hoods, so then you've got that issue especially when the weather's getting onto the front and back of the filters. The filter holders also have to be attached and those can be just as finicky or more so than a screw on filter.
I've used the drop in filters for effects back in the day (before you could do digital effects in post) and they were ok when the weather was nice, but in really rough conditions nothing is better than keeping the whole setup minimal and nothing is more minimal than simple screw on filters. If you've had issues with them and the drop in holders work better for you, great, but I found the opposite to be the case in really taxing conditions.