Will it improve cold weather heat pump efficiency to build an enclosur around it to protect it from northern exposure

It will only block the wind, not change the ambient temp. That is a drawback with heatpumps unless they are specifically designed for the temp.

Never block incoming air or leaving air on your system it will only make things worse. Its never a good idea to put a heat pump on the north side of the house

Agree with T-Top. I think I missread "enclosure" for "baffle". I agree, never enclose the unit but you could use a 1 sided baffle to divert the wind.