Not always. Some horses just do not do well in extremely cold temps, or in seasons where bugs are bad. So they may need a break from the elements to insure they stay happy and healthy.
Most my horses are out 24/7 w shelter. I do however have an old mare that CANNOT stay out during bug season, she just gets so worked up and agitated, that she paces, runs, and plain out goes mental....so she needs to be in the barn during the high bug activity then gets turned out later.
I also have a gelding that has COPD, so during harvest, he needs a break from being outside as all the dust in the air agitates his condition, so he goes out early am, comes in for the afternoon, and then goes out again at night.
My mares n foals are also turned in a night, as we have coyotes that have and will take down foals....not fun:-(
So yes, horses outside as much as possible is best, but there are some very valid reasons that some horses do need to have a break from "nature".
Also in all my 30plus yrs of working/being involved in the horse industry I NEVER seen anyone keep their horses in 24/7?????