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Polyurethane (PU) as a popular polymer is widely recognized for its exceptional thermal insulation properties, making it a critical material for applications requiring effective heat transfer management. Integrating Phase Change Materials (PCMs) into PU (PU-PCMs) has emerged as a highly effective strategy for enhancing building envelope performance, ensuring greater indoor thermal stability, and mitigating temperature fluctuations. This study introduces an Enhanced Multi-Scale Modeling approach to investigate the thermal conductivity and energy efficiency of PU-PCMs, with a particular focus on their comparative performance in subarctic and tropical climates. By combining Molecular Dynamics (MD) simulations with Finite Element Methods (FEM), the model seamlessly bridges molecular-scale interactions with macroscopic thermal behavior. Using a Representative Volume Element (RVE)-FEM framework, microscopic properties are translated into engineering-scale parameters, enabling accurate and efficient predictions of material performance across diverse climatic conditions. The findings demonstrate the capability of PU-PCMs to significantly enhance energy efficiency and indoor thermal comfort. In a case study of a single-family house, PU-PCMs achieved a 7.376% reduction in energy consumption and increased comfort hours under Stockholm's subarctic climate. Moreover, the adaptability of PU-PCMs was validated in both tropical and subarctic environments, consistently stabilizing indoor temperatures, reducing HVAC energy demands, and improving occupant comfort. These results underscore the potential of PU-PCMs as a passive thermal management solution, advancing sustainable building practices. The proposed multi-scale model offers a computationally efficient and precise tool for optimizing material design in energy-sensitive applications, reinforcing the versatility and significance of PU-PCMs across a range of climatic conditions.