It isn't a question of protecting the tank from frost, but of benefiting from the "waste" heat it produces. Ideally, you want all of the heat sources associated with your dwelling to be located within the insulated envelope of the building so that their valuable heat isn't lost immediately to the outside air. A hot water tank is a major source of such heat (if not the major source). You've paid for the heat, so it only seems sensible to benefit from it. As has been said, remove the insulation from underneath it, and added as much as you can to the top and sides, and you'll have done your best to conserve the valuable warmth.
