After recently surviving our typical Canadian winter cold snap, I too suffered some cold weather shifting difficulties. As the temperature dipped into -30 degrees celcius, shifting the automatic into neutral during warm-up. I believe this cycles the fluid in the tranny, therefore heating quicker. I works well for me, give it a try...
I was up in Stowe, VT which had temps in the neg. 30's. I just let the car idle for 5 minutes in neutral then move through the gears while care is not moving. It works well for me, no grinding. I have the same 6 speed with the VR6
DB has answered this post about 90% complete. Just to add the final 10% don't forget about the transmission oil and lubricants are "Goo Like" and sticky when cold. That is also part of the problem.
And again, it is perfectly normal.
In all 2K3 Automatic Toyota's the car won't let you shift into Over Drive until the ECU will determine that the Transmission is warm enough. Which means that when you are on the highway (for example) and you engage OD, it will usually take about 2-4 minutes to engage.
PS: To avoid grinds you can shift to 3rd and before releasing Clutch shift quickly into 2nd, when it is really cold out there, works everytime for me. No grinds.
Also when you are rolling... most Transmissions will try to prevent you from shifting back to 1st. You can do that using same method... shift into 2nd... then quickly into 1st even when rolling... just make sure you are rolling really SLOW otherwise you'll over rev the engine.
I tried to start my car from 4th gear the other day and did it with minimal problems or clutch burn... I was really impressed with VW for developing such a smooth tranny.