Any suspension will face salt corrosion in winter. However, stainless/aluminium coilovers will fare better than steel bodied struts anyways. Keep the threads clean if you are concerned about them seizing. Changing them out every season is a waste of time, but you could also do that. Coilovers aren't some holy grail of suspension. They're a colloquialism for adjustable height suspension, that's it. If you are concerned about the appearance of your suspension, either keep it clean, or don't winter the car at all. The rest of your components are going to rust anyways, if you can't handle keeping the least rust-prone component from corrosion.
If it's a poor financial decision, that is a better reason not to do it. On the other hand, driving around with a broken car is not responsible either. A blown strut is not a huge deal, but in addition to poor handling, you will be putting more wear and tear on other suspension components.