The only thing to note is that if you complete 4 WIC hurry-ups, and thus play Winter Has Come, you *cannot* light any more WIC hurryups until you beat Iron Throne. The shots that correspond to modes that you did play, but WIC shots you did not collect, will turn the color of your house as if you *had* collected its WIC.
So, similarly to HOTK, you only get one shot at WHC until Iron Throne.