The biggest problem I have is that my plumbing was not done in a way that allows for easy draining of the pipes. It is certainly an option I might consider redoing, but I generally enjoy the waterfall even in the cooler months, if it doesn't get real cold. Also a lot of robins and other birds and wildlife drink from the waterfall. And in order to protect the liner and to shape the pattern of the falls I poured concrete on top of the liner. I sealed the concrete, but wouldn't be surprised if water seeps down through the concrete to the liner in places. The way I built it even if the concrete sealer fails the water is still contained by the liner below. (It doesn't leak) However I have five levels of falls and about a 25' length of streambeds from the beginning of the falls until it empties into the pond. When the water is shut off a series of shallow pools remain above the individual falls. I'm concerned that if those pools freeze, and the concrete below freezes it might crack. So anyway I have no desire to re-poor the concrete in the stream beds every year. So for me covering it and leaving it running seems like a decent option. And if cools a tiny bit by keeping a very small section open for the wildlife to drink, it's a price I'm willing to pay.
Mitch