I have both a technical and a practical answer for you.

The technical answer is that demand response resources are considered dispatchable or interruptible load. Load shedding is the dropping of "firm" or non-dispatchable load. Typically, load shedding due to energy inadequacy only occurs after all demand response resources have already been called in. It's not one or the other, it's always both in tandem.

The practical answer is that during extreme weather, there are never enough people willing to voluntarily freeze. The demand for heat when it's below freezing in a state where homes aren't insulated and people don't own winter clothing is relatively inelastic.