I don't know the answer to the muscles under the skin question, haven't seen any real studies on it, but it does seem logical to me, and IME horses who have been rugged for long periods, with heavy rugs or layers don't seem to 'fluff up' when they're naked & cold(see this often, working on rugged horses, as the rugs get in the way, so I prefer them to be taken off first). *The key I think there is heavy &/or long term rugging. I don't believe it's good for any horse to be 'dressed' all the time, without frequent periods 'naked'. Layering rugs is generally not necessary with todays assortment of options, but whether or not you do, weight of the rugs are an important factor to consider IMO. A fly sheet or such is negligible, for eg.
The biggest problem is over rugging I reckon. Here in Oz, generally, it's not cold enough for horses to need rugs at all. And even in cold climates, horses *that are allowed to be horses* cope very well without rugs too. Generally. But there are many exceptions to that 'rule'. Sick or skinny horses for eg, or those like many TB's who don't grow a good winter coat. & then there are the ones that are living in yards or single small paddocks, that don't get to exercise enough, horses who are clipped, etc. And when rugs are used regularly, they 'acclimatise' to them, and can't regulate their own temperature well, so we need to ensure they're not just off regularly, but on any warmer days etc. Or rather, on only on the colder nights. And if you can't ensure the horse is 'undressed' frequently enough, then I think they're better off left naked, as a rule.