ou really just need a 2 or 3 walled shelter, unless predators are a problem.
My biggest predators are eagles/raptors and dogs. With your location raccoons, possums, and snakes might also be an issue. So, build to keep all those out.
Ducks are very cold hardy. But, they do need the wind blocked. If you get a bunch of wind, it would be nice to put that clear ripple plastic on both sides of a fence corner. That way, they will have at least a bit of area free of wind.
Also, in front of that ripple plastic is a good spot to put a water pan. The sun coming through the plastic will keep the water thawed longer.
And yes, they are always messy with their water, and they need to be able to dunk their heads. So, figure out where to put the water so it will not soak bedding, and be easy to clean out.