jmc,I agree with you. The car should run right after it is started. It may or may not be a good idea to do so...but that certainly wasn't your question.
As you see, I live in Iowa, and it has been cold lately. My Rogue is garaged, but sits out all day at work. Dispite being well below zero, I've never experienced the problem you describe.
The model is new enough that the dealer techs may not know what to do with your issue. It doesn't sound like it's a common problem.
So here's what you may try. See if you can get an outside temp when the car does it and does not. This may send the techs to a particular sensor if there is a cut off temp when it does it or doesn't. Maybe it gets worse depending on how cold it is, but get as much detailed info as you can.
Also, there is another web site
http://x.nissanhelp.com/forums/index.php that may help you. It lists dealer service info and other good stuff.
By the way, welcome to "Rogueing", and let us know if you come up with a solution.
Kirk in Iowa