Yeh. I think it makes it hard for the hair to dry and without the loft of dry hair, they cannot stay warm. They don't stay warm from fat, like a seal does, but they do burn more calories to stay warm., but it's the thick fur that provides insulation more than fat.
Some people say that blankets push the hair down and take out the natural loft of the hair, certainly over the back and whither area it would. So, some say blankets make horses colder. I don't know it true or not.
We don't blanket at all. When we get back from a ride if the hrose is sweaty, I towel dry as best I can and then they go out in th pasture, damp . And they are out 24/7. As long as the wind isn't blowing too much they are ok. IF it's really blowing, I try to get them a bit drier, and let them hang out with a wool coooler on for an hour.
This blanketting thing is always a headache. My friend asked me to look in on her horse while she is gone . At her barn all horses are blanketted, even though they, too, live in paddocks with run ins only. So, during the day, the poor horse is sweating under the heavy blanket and I suppose more than warm at night, assuming he isn't still wet from the day sweat.
I cannot convince her that he will be fine in his run in without a blanket up to 20 degrees f or maybe less, if not too windy. But, they all do it, so she does not want to be left out.