One of my neighbours got a visit from the SPCA one time because someone had said his six horses were stuck in the mud (of course they weren't they were in a slough checking it out and playing around - quite a common occurrence for them). My neighbour said he was a bit surprised when the officer showed up but he showed him the horses (who were up at the barn by this time) and that was the end of it.
My initial thought when I read through your post, chubbypony, was that the absolute most that might be questioned is if the blankets looked soaked and thus might make the horses cold. If that was the case, that would be pretty minor and would probably work itself out with just a discussion between you and the SPCA officer. At any rate, try not too worry.