Is the subjunctive needed with "No me extraña"
No me extraña que estos Africanos tienen o tengan frios en Canadá.
If you use the example sentences in the dictionary under extrañar as a guideline I would say that the subjunctive is required.
However, in other situations it may depend on what you are trying to say. Often the speaker (writer) selects the indicative or subjunctive depending on whether he wishes to declare something or show his reaction to the fact.
In this case, it's hard to imagine that you are declaring anything rather than expressing your lack of surprise.