Lobelia cardinalis is a characteristic species of hardwood swamps and Lobelia siphilitica is a characteristic species of fens in Minnesota and Wisconsin [1]. So both plants are native in USDA hardiness zone 4 and portions of zone 3. Yet, when I grew both plants in St. Paul Minnesota, I found they wintered inconsistently. I think there are a few issues involved.
First and most importantly, both plants have a huge range: L. siphilitica's range goes to Texas and L. cardinalis's range goes into Mexico. Plants from seeds collected in the southern portion of the range are likely not hardy at the northern edge of the range. My success with L. cardinalis was better when grown from a local seed source. Even so, the plants only lasted three years. The plants are probably naturally short lived. After a strong flowering and good seed set, the plant may die.
Finally, I think the plants can be overwatered. Neither plant is commonly found in areas that flood, but rather areas with high water tables. Moreover, the soil were the plants are found is typically moist but organic and well aerated (with pH 6.5 or higher) [1]. If the plant gets flooded with too little oxygen available to the roots late in the season, it may not winter well. This last bit is speculation, but it correlates well with my successes and failures.
[1] Vegetation of Wisconsin, John T. Curtis (1959)