The temperature drop you describe (40 °F) would lead to approximately a 8% drop in tire pressure in your N2 filled tires. Assuming that they were filled at 69 °F and to 33 psi, that would leave them at a pressure still over 30, and the light would not come on. Of course, if you filled them at 50 °F, they went up ~4% when it was 69 °F and then only "lost" ~4% when they went down to 30 °F. This happened. If the temperature went down and there isn't a hole in your tire, the pressure dropped.

The much-hyped "greater effect" from regular air to temperature changes is found by the content of water vapor, which is acts less like an ideal gas at these temperatures. Given that, there isn't much water vapor in the air. From wikipedia:

Due to the increasing potential for a higher water vapor partial pressure at higher air temperatures, the water content of air at sea level can get as high as 3% by mass at 30 °C (86 °F) compared to no more than about 0.5% by mass at 0 °C (32 °F).

This is at 100% relative humidity, by the way. So if we assume 100% humidity and you getting your tires to 33 psi when it's 86 °F, and then the temp drops to 32 °F and all the water freezes, you'll see a 3% drop in pressure, plus the ~11% drop in pressure from all the other gases. The 11% drop would happen even in the nitrogen filled tires. 3% of 33 psi is less than 1 psi and is a worst case scenario.

It's certainly up to you, and I understand that racecars do it, but given the fact that you have to check your air pressure (or at least look at the TPMS idiot light) anyway due to temperature changes, I don't see much value in paying more to fill up your tires with 100% nitrogen.