Yeah, gotcha. There may well be nothing you can do. I don't know anything about horses that don't grow a winter coat since I have three grizzlies in my backyard. If he seems happy, is eating well, and feels good otherwise, I'd just try to keep him warm. Sounds like you're doing that.
I did have the vet do Harley's metabolic profile last fall, just because of his age, and his thyroid was underactive which was causing him to gain weight. He was on a thyroid med for about three to four months last winter, lost some weight, and looks great. The problem seems to be solved since he is not re-gaining the weight and the vet was happy. I think the whole metabolic profile testing cost me about 60$, but that wasn't counting the vet call. But I'd ask first what could cause a horse not to grow a winter coat. Maybe whatever caused his dam not to grow one is actually something treatable.