In the KY/OH/TN winter conditions (at least when I lived there 20 years ago), I am with Glen. A decent three season tent will be adequate except if you happen to be out in one of those "once a century" storms. Your warmth mostly comes from your sleeping bag, but blocking the wind does make the inside of the shelter more pleasant. Besides blocking wind, there is a second advantage of a solid fabric inner tent which is if the wind blows snow up and under your fly, it's less likely to come through the solid material than through the mesh.
BTW: I pretty nice compromise between a light three season tent, and a full one winter tent is the MSR Hubba Hubba HP
Personally, if I was going to purchase a single shelter that would be ok in every condition I might face, my first choice would be a pyramid shelter + a bug tent. I think one of the most versatile options for someone who is mostly doing solo trips is the Mountain Laurel Designs DuoMid + the inner mesh.