I've found bay to be quite hardy. There are several in my customers gardens which live out doors all year around.

The leaves sometimes get frost damaged but regrow the following year.

Personally I'd only protect bay if a very hard frost was expected

Even if you do fleece, its unfortunately not a 'wrap up and ignore all winter' solution. The fleece should be removed when the weather isn't so cold, if for no other reason than that it gets soggy and wet, so its a chance for both the fleece and the plant to dry out before you replace it again.

In the long freeze-up last March the Bay Tree on my allotment died. Should have wrapped it.

Our Bay tree died even though it was wrapped and in the Polytunnel. So much for them being hardy! The one we planted out died in an ordinary winter here.
Sadly, much as it means work, the Fleece has to come off during non-freezing temps.

I fleece plants as little as possible. The fleece is used if the temperature is due to go too low and it comes off again just as soon as it can. Even if this means fleecing in the evening and removing in the morning.

I thought my (non-fleeced) bay had died in the winter of 2010/11. I didn't dig it out, I'm a great believer in leaving plants to do their own thing until you are sure. In June, yes right through until June 2011 the lower tree started putting out buds. Unfortunately the top twigs and branches are still as bare as .....no never mind that particular Australian expression, just bare will do. I discussed it with my Australian horticulturalist friend just the other day and we decided that we should give up the fight with the top half and get the loppers to it in very early spring. But I have still got (half) a bay.

We have lost quite a few bay trees over the years, but only the potted ones, which suggests that it may be more the roots that are vulnerable. Maybe you might like to try lagging the pots, Sjw, as well as protecting with fleece in the hardest weather. The two we had that survived several really hard winters were in the ground and pretty well established already, but were never "fleeced".