Just because it's cold now doesn't meant it will be the opposite in the summer. It might stay cooler than the other rooms. Unless the window is actually leaking bad, replacing it won't do much. Have you tried to adding caulk around the window frame? You might want to use some DAP foam and insulate around your electrical outlets and the baseboard. When I say insulate the baseboard, what I mean is to remove the baseboard and/ carpet then foam the gap between the floor and wall. That should stop a lot of air leakage.
Another question.. Assuming you don't have a return in the bedroom, if you sleep with the bedroom door open, is the temp of the room any better? If so, you want to add a return. The return will allow better circulation because it will be drawing air out of the room, while the supply puts air into the room.
I live in a 2400sf colonial. I have a return in every room, except the bathrooms.. The temp throughout the home is very even and the home is not zoned. When I 1st moved in, friends that visited couldn't believe how even the temp was through out the house.