I don't think you have much to worry about with your setup. As a suggestion, you may want to protect the exposed lower stem/corms with some mulch or maybe some plastic ground cover. You may find that you even have some growth over the winter.
My Gfinger rotted last year, but the heavily mulched corm lived, and it threw up 4 pups, so now I have it in 2 locations. My Gfinger is not one of the ones under the 'structure', and will spend the winter in the open again. All my exposed bananas are already fried from the last few nights down into the mid 30's (except the E Maurelli, and the Chinese yellow). The caged bananas are still nicely green, and several have new growth.
Last year, I did not cover the ground with plastic, and I watered later in the year, pushing ground moisture up. This year, I gave them drought conditions late in the season, and will restrict rainwater from the corm area.
I also like the stacked bag idea (Thanks Bigdog!). I'll use this idea for some of my exposed plants. All my leaves are gone, but the neighbors still have some. I'm sure they wouldn't mind me raking them up and bagging them.
I'll experiment with something different each year, but this is only my 2nd winter in the ground. I have an idea for more supports and a cover, but not like the 'structure' I have now. More along the lines of a frost blanket with no sides, and Christmas lights around the stems similar to yours. It should work wonders for my cold hardy types. The cold sensitive bananas will always be located in the 'structure'.
Good luck to you this winter.
