Salad rocket can be picked over winter and grows reasonably well with a bit of protection, wild rocket basically stops for at least a couple of months, then you can pick it in spring from a September sowing. But yeah you need a mild winter for it to survive outside. Last year was so mild I was still picking my autumn salad mustards and rockets in April!
I've had good success sowing wild rocket in September in modules, keep them inside the greenhouse over winter then plant out end of february under fleece. They are a bit slow to grow otherwise, at least compared to some other mustards