The insulation on the cable is for electrical, not thermal protection, so unless the air temperature is outside the operational range specified by the manufacturer in their documentation (highly unlikely), your cable won't require insulation at all.
Actually, providing thermal insulation for cabling can actually create problems instead of solving them. For example, for cable designed for 120/240v, there is a thermal rating (65°C and above) that indicates a maximum temperature the electrical insulation is rated for. Above those temps, the insulation can break down, potentially leading to shorts and fires. If you add thermal insulation, you actually increase the likelihood of creating problems.
You will not need to thermally insulate electrical cables against the cold. You are unlikely to get the cable cold enough to notably slow or stop the flow of electrons providing power to and data from your cameras.
It wouldn't hurt to put the cables inside the PVC conduit you're looking at to provide physical protection against the build up of ice on the cable. Ice will add weight and the ice build up can add so much weight that the cables break. Conduit would reduce/prevent build up on the cable itself (the conduit would take the brunt of the buildup), and with proper securing the weight would be transferred from the cable to the conduit to the brackets, then into the building, thus reducing/eliminating the strain on the cable.
If your cameras are not rated down to those temps, you could run into problems, so you might need to provide a way to keep the cameras themselves warm. Again, check the manufacturer's documentation for temperature range for the cameras.