Why does Lefty's gang have to stand outside in cold weather like this?

Pecking order.

You see this reinforced several times in the movie [the Sopranos shows a similar system throughout, too].
Those with greater power get greater reward, which includes sitting in the warm.
Those with lesser power not only have to stand outside, they have to stand outside until told otherwise. They have no choice in the matter.
You might notice those of lower rank are often called on to pay for things, like dinner, for those of higher rank. You do this until you're 'made' & then you make others below you do the same for you.

It's a show of power.
The guys outside would still also be 'a friend of mine', not yet 'a friend of ours'.

It's a show of respect and force. They're waiting for Sonny Red to show up. If anyone is riding around hoping to take Sonny Red out, they're gonna be met with a dozen armed men. It's just like that scene in Godfather when Michael Corleone (again, Pacino) stands on the hospital steps and has the florist standing next to him with his hand in his coat. It makes someone think twice about making a move.