I see no problem using blankets, especially if a horse needs it.
For example, my horse has lived in south Texas his entire life where it MAYBE gets to freezing in the winters, but this is his first winter in Colorado, so I made sure to get him a heavier blanket since it can easily reach the negatives here. It honestly depends on the horse. Besides the horses we keep as companions and riding animals aren't "wild horses" so it's a little ridiculous to try and compare the care they receive to how wild horses survive.
"Always be yourself. Unless you can be a unicorn. Then, always be a unicorn."