How can we protect this furnace from environmental conditions?
Without major retrofits, probably not a great deal. Not blowing up the house trumps insulating and especially air-sealing with gas appliances - someone already made the decision to park these out in the cold rather than in the house, and adequate ventiliation is a must. There may also be a deliberate intent to bleed some heat to the garage without actually heating it, as such. You certainly can't effectively insulate the closet with those doors, and given the needed vents, it wouldn't do a great deal anyway.

There is no real concern about the air feeding the combustion being cold - it makes little to no difference. Being sure that the air ducts to and from the house are well-insulated where exposed would be good, and likewise the water lines for the water heater.