If it is just to get a supplement into him with a little extra calories I'd go with alfalfa pellets (soaked) or some soaked beet pulp. High fiber to help keep him warmer and good for mixing powders The other pelleted feeds won't hold the powder unless you moisten them and they'll probably provide other things he doesn't really need. Especially if he is an easier keeper like you previously noted.
I don't think it matters if you blanket them. As long as they have a good coat, good weight, and shelter from wind/rain they'll be fine. Mine go throughout the MN winters just fine without blankets or grain.