I live in Norway, very close to the mountains (4.3 miles away). I have two Gypsy cobs. I don't blanket my horses at all and we do have hard winters normally with temperatures down to -22F. The horses have nice thick winter fur. I do bring them in at night but the barn isn't heated and there are ice on the inside of the walls. Nevertheless, the horses are very healthy and are never sick.
The only times I ever blanket the horses is when the weather is very windy with cold and frosty rain coming down and it looks like it's going to pour down all day.
However, I do pay attention to not get them sweaty in the winter if I can avoid it and if they should get sweaty I do have to blanket them and put them in the barn and it takes hours to get them dry again due to the low temperature and the thick fur.
Don't fence me in