I've heard this said when trying to put a 90% efficent furnace in an attic to prevent condensation freezing. But if the furnace doesn't draw air from a seperate combustion supply pipe, I don't see how boxing an 80% eff furnace in uncondition space would help. As soon as you allow cold air access to the furnace, you know the cold will migrate into the heat exchanger. Ductwork has more exposure in an attic. SO it must be well insulated.