I don't know the intricacies of starting a diesel locomotive, especially one providing head end power, from a cold condition, and I have heard that diesel engines consume very little fuel while idling. Nonetheless, "very little" is more than none, and it does seem like it wouldn't take much planning to restart the locomotive in time to allow a sufficient warm-up.
In the case of Chicago Union Station (or any terminal point with a somewhat enclosed area), it seems like the train could be positioned and the engine shut down. Yes, this means no toilets and limited lights. Probably the reason not to do this with Amtrak engines is they might not restart in a fully functional mode.
My recollection is that head end power is often shut off for a time in the station at Denver, Saint Paul, Portland, and other locations. Does anyone know why this is? If the head end power can be shut down, could the entire locomotive be shut down during a long station stop? Does shutting down and starting up increase the chance of the locomotive breaking down?