Re: I've never had a "swarm" like this before
I have seen several open colonies over the years, most often in late fall. Rubber band or string tie the combs to frames and no problem. Give them a few frames of honey from another hive and they will make it.
I have never noticed the comb being overly fragile. It is normally like any other first year comb. No problem securing to frames and moving. If you think they are fragile, use a sheet of foundation and attach comb to frame with foundation to the back, only use one side of foundation, cut out a large portion of the foundation in the center of the frame so the brood is exposed on both sides of the comb. The frame you have left will help to hold the comb if it is fragile.
I have never found a colony that survived the winter in Kentucky as an exposed colony. Might survive in other climates, don't know.