On top of what others have said, we need advancement it batteries that can withstand low temperatures. Lithium ion batteries generally need to be kept above freezing temps. There have been some advances in capacitors that operate down to -100C, but their energy density makes them a non-ideal option for weight limited applications.

This video from Veritasium does a good job of covering the helicopter power system: https://www.youtube.com/watch?v=GhsZUZmJvaM&t=613s