Actually most of the Canadians I know (which is a lot, over 70) have very surprisingly short coats in the winter, way shorter than most other breeds I've seen, just it's extremely dense so length isn't necessary.
The mares (and any foals they might have) spend their winters in a roughly 5 acre pasture that is heavily wooded at one end. It's their natural environment and they are never brought inside, save to have their foals weaned.
The others (of various ages, mares and geldings) all have lean-to shelter, but prefer the trees, or each other for warmth. In winter all the horses get free choice hay in abundance, that is key to their warmth and well being.
The only really worrying weather for horses is when its exceedingly hot, or when its a combination of very cold weather and wet. Also horses who are alone are at far greater risk of exposure than those in a herd.