I've had a pond for 6 years now and leave my filter going 24/7, I switch the UV off during the winter and keep an eye on the min temperature. If we are due an extreme cold spell I re-route the water via the cleansing output directly into the pond and cut out the external water course. With freezing water around you can quickly empty the pond if you're not careful. However as I'm based to the West of London our temperatures rarely get below -5 unlike you hardy guys (north of Watford) . For some reason I lower the pump to the lowest part of the pond during the winter (forgotten why, lost in the mists of time, I'm afraid). Regards Andy.
As Andy said you can leave them on, especialy if you have a few fish. However you do want to raise the pump off the bottom of the pond, if you have a shelf then that'll be ideal (depending on the depth), this is due to the water temperature being alot more stable at the bottom and therefore better for the fish. However if the pumps also at the bottom, it will mix the water and making it alot more unstable.
Woops, sorry my info was round the wrong way, it was not only the reason that got lost in the past, half the brain went with it . Thanks fredrick_more, it makes sense not to reduce the temp of the whole pond by pumping the water up to the colder regions by leaving the lower section undisturbed.