My dad had a dud .243 round once with two coyotes ~10 yards in front of him. I'd just called them in, and I ended up killing both of them. He worked the bolt, checked for bore obstruction, and shot the next one that came in on the same stand. We both missed the fourth one (third one's mate) several times, but he was smokin' out of there and we were shooting in excess of 400 yards. It was an uncommonly good morning for calling, no doubt.
Afterward, he tried to shoot that same cartridge a couple more times without success, and then I tried it in my rifle with the same results. That Rem Core-Loct wasn't going downrange fer nuthin'.
It happens, but it's pretty rare.
BTW-depending on how cold it was, you might want to check the action on your rifle for excessive lube. Some lubes will "gel" up in really cold weather, and can slow the firing pin enough to not fire the primer.