I am one of those obsessive folks you hear about who sometimes changes blankets three or four times a day. Each horse is 24/7 turnout with free access to both stall and a covered area with wind protection, though they rarely will go into a stall by choice despite weather being nasty (unless their internal clocks tell them it is feeding time).
Years ago I decided on Weatherbeeta which IMO is a decent blanket at a decent price, and they are consistent in fit and are are often on sale. I cannot remember the last time I paid list price for a blanket. I prefer the middle of the product line simply because I am comfortable with the hardware on them. Each horse has six blankets - zero, 50g, 100g, 220g, 360g, and 440g of insulation.
I have not seen any of these blankets soak through even during full days of rain. The chest area may be wet inside because water can run down the neck, but the rest of the underside of the blankets is dry. To get to the point of my lengthy post, every time I remove a blanket, the hair on the back and down the sides of the horses is compressed and slicked down. So in my experience blankets do compress the coat, and the result kogically must be less insulating ability of the hair, which is then substituted forand added to by the insulation in the blanket.
Compression of hair is likely caused in part by the horse walking and grazing, as the blanket slides back and forth across the hair, rather than just resting immobile on top of the hair.