This is one of the reasons why I disliked how much Martin has focused on Essos. I preferred when it was an unknown, mysterious, foreign place. Now that we now pretty much everything about that continent, it lessened the importance of Westeros a ton. Like you said, we don't even know if Essos experiences harsh winters, and even if they do, they don't have a direct threat looming directly above them like Westeros does.
And since they're geographically separated continents, the whole "apocalyptic winter" scenario envisioned in the books looks like it'll be restricted to one relatively small landmass instead of the entire world.