Nope. Mine was delivered at around -2ºC (snowing too) and the internal packaging remained fine. It's sort of like a double-layered package (the brown cardboard box on the outside, and inside it is the MBP's box) to protect it from harsh weather.
Besides, the package was in the weather for less than 1 minute (the DHL bloke rang my doorbell and only took the package out of the back of his van when I showed up to sign).