Mine is in my basement, sort, of, with the well head and pump inside a concrete-capped "crypt" that extends beyond the house.

Previously, if I closed the door to that room, it could freeze when the outside temps got ugly. Hence the pressure-switch-line insulation.

Recently I added a cold porch above the whole works, giving a shielded and insulated entryway to the whole house. I doubt freezing would be an issue now. I have my potatoes and onions in cold storage in the same room. It's held at +5C or greater through our current cold snap.

A neighbour has a stand-alone well shed. Even though it's well insulated, he keeps a heater on the "frost watch" setting just in case, and for good reason. IMO he could insulate a second box over the piping and that would suffice. But it's none of my business.