I am in a warmer zone than you are but would say the iris and daylilies should be fine. Don't know about the others. Good luck!

If you have the space, I suggest you dig a trench to the required depth and sink the pots in it, then fill the soil back in around them for the winter. It is a bit late to plant perennials in your zone but keep in mind the soil won't freeze yet awhile plus the plants should be going dormant which means they're not in growth mode.

My first year of winter sowing I had several dozen seed-grown perennials in gallon pots that I hadn't yet planted when November rolled around. I dug a trench, set them in it, then filled the soil in around the pots. All came through the winter just fine.

The shed isn't a good alternative to planting them in either a trench (in pots) or else in the ground. Perennials hardy to Z5 won't be happy in a shed at 40 degrees. You don't want the plants to grow at this time of year--they need to go dormant until the hours of daylight + temperatures + moisture in the soil wakes them up next growing season.

Your unheated garage isn't a viable alternative to the ditch or else in the ground. I tried that one year with good results. The following winter I had dismal results.

Chances are good that healthy plants grown outdoors won't lend themselves to indoor or sheltered conditions. A reputable nursery will guarantee their plants for at least a season, particularly one that ships to your zone this late in the year.

I might have some concerns about the butterfly bush since you're at it's hardiness low end zone-wise. All mine are seed-grown via winter sowing and are therefore tough as nails.

Always a good idea to check nurseries at Dave's Garden website for experience of others.

The butterfly bush and the caryopteris will be at greatest risk. If you sink the pots in the ground I would suggest in addition to mulching that you cover each plant with a large pot (don't forget to weigh it down with rocks or bricks). For the others, sinking the pots in the ground and heavily mulching should be sufficient. Keeping all the plants in an unheated garage will also work. I routinely overwinter butterfly bushes in my basement emergency exit window well which is similar to your unheated garage. However, the plants will need to be sparingly watered from time to time so you need to check them every 2-3 weeks. Good luck!