Yes - it's a very important point for us. In our zone, where we live, we are likely over the course of a decade or two to get a killing freeze.
There are other hazards as well, like losing the graft (I know that may sound unlikely, but over time, it becomes increasingly hard to see), or rejection in times of stress - sometimes a well healed graft will fail. I am speaking in general here, not just for figs.
Harvey recommends planting the union below the frost line (that's 10" where I'm at) but I worry about differentiating it from RS at that point. So we keep the grafts in pots for now and haven't planted them inground.
The mulberry is commonly grafted because our native red mulberry is a very good, vigorous and, most importantly, rootable variety. Most other varieties (nigra) are difficult/impossible to root (I think M. Dirr gives a low number, indicating it's possible). Although I've read elsewhere there are other rootable varieties (dwarf everbearing, Pakistani, I'm not sure) - the red is native and readily available so I use it. I have about 15 or that have long outgrown their pots. They are AGGRESSIVE growers, be prepared to attack it or it will get out of control.