Like you, I was very hesitant to go from synthetic to a down sleeping bag.
I am very paranoid about getting my bag wet, as I am a cold sleeper too.
You should think about getting the Helium EQ vs. the regular Helium. 2 Lbs 3 oz vs. 1 lb 13 oz. (2007 stats)
I the shell on the EQ is waterproof, if you seam seal it, which I have done. (If you are interested on how to do this, please let me know and I will be happy to share with you how to do it).
Last year, I had a situation where my tent collapsed in a very bad rain/wind storm (my friend's free standing tent's pole was bent by the force of the wind crushing his tent) and I had water flood my tent.
I slept in a puddle of water that was 1/2" deep with a prolite 4 sleeping pad.
It was so bad that I simply cinched the opening of the bad as tight as I could and slept curled up in a ball inside my Helium EQ.
In the morning, my pad was soaked and I looked like Han Solo in Carbonite with my tent collapsed on me with water pooling on top of me.
The exterior of my bag was completely wet…the only dry spot was the center of my sleeping pad where my code was laying.
The bag was completely dry on the inside and I was warm the whole night.
December 2007, I slept outside of a motel in Tahoe with a Mountain Laurel Designs (MLD) Poncho Tarp and MLD Soul Side Zip Bivy w/eVent top with my Helium EQ.
Temps started at midnight at 8 degrees F. and dropped to 5 degrees F by morning (5:30 am).
I applied the laying princples outlined in the BPL book and wore Forty Below Synth Booties and wore most of my clothing or laying it over my body to trap heat.
I was too hot at one point, but by morning, my head was a bit chilled, otherwise, I was comfortable.
More recently in Jan & Feb 2008, I went snow camping with the Sierra Club to learn how to build a snow trench.
Was warm enough in the trench with the Helium & Bivy that I actually had to remove clothing to not over heat.
As you can tell, I am a big on this sleeping bag, but after sleeping in a muddle puddle with it and staying warm and dry, what other test is there? :)
Hope that this helps you.
P.S. I think that my wife has the Woman's Mountain Hardwear sleeping bag that you are thinking of. We seam sealed it too. My observation is that the inside material of the Helium is silky smooth and more comfortable than hers. One negative of the Helium EQ is that it is not down proof. I am loosing one or two feathers each time that I am using it.
-Tony