Does a comparative always need to compare with something?
Sure, the name comparative does not proscribe the valency. It is just the form that is used when you are comparing two things.
In cases when you have one thing it can still be used.
Following cases are typical:
- we want to compare to some average
- the thing we are comparing to is already established from the context
- we want to be deliberately vague
In this case it is called null comparative.
It is grammatical.
Yes, it is still the comparative form of the adjective cold.
Although no other climates are mentioned, there is an implied comparison with climates that are not so cold. Colder climates could include the coldest ones, so to that extent some colder climates could be more than 'somewhat cold'.