General thoughts.
Obviously clipped horses are in a category of their own and can’t heat regulate at all.
But I feel like most unclipped horses, even with skimpy hair, can be fine with lighter blankets that block wind and precipitation.
It’s useful to remember that range horses acclimated to colder temperatures do just fine way up in Northern Canada, including feral horses in the Yukon. Horses are actually made for cold to temperate climates, and evolved on the steppes.
That doesn’t mean all modern pet horses are acclimated, or that you want to let a horse shiver. And obviously Arabs and Arab derived breeds like TB evolved in deserts! And sudden temperature shifts are hard on everyone.
Nevertheless, an unclipped horse is not a human toddler and generally needs only a bit of help, not a full wardrobe of layers.
As far as blankets affecting hair poof, the mechanism by which horses poof their hair is called horripilation, basically hair standing on end. If they are warm their hair is sleek, even a winter coat. If they are cold they ruffle up their feathers. I’ve seen my very shiny mare poof up her short summer coat when we get a cool rainy day in August. When I blanket her in winter she has a fluffy neck and shiny body but if I take the blanket off her winter hair poofs up in a couple of hours if she needs it. And under that hair she is warm on her skin.
I do think she grows more hair when she lives outside over the winter certainly more guard hairs, beard, fetlocks, even with a blanket.