2002 Cadillac STS rough ride when cold

The only way to determine if this is actually a concern, would be to compare it to a similar vehicle. Many things are affected in below freezing temperatures, tires get harder and even develop a flat spot where they sit, shock fluid becomes more viscous, bushings and joints get harder. I personally don't see complaints of this nature having been with Cadillac for 13+ years, but I am not subject to too many days in bitter cold, in my climate zone. Just out of curiosity, what tires are you running? That could have a large affect on this.

That may be more theoretical, than fact. The shock is filled with oil, and most oils tend to thicken in cold temps. The bottom line on this, is determining what is abnormal. What cold air pressure are you running, and by helium, do you mean nitrogen? I've researched the GM service info database, and can find no info on rough ride when cold. That is where comparing it to a similar vehicle would be in order. On a vehicle that is sight unseen, it's about the only thing that I can offer as a next step.