I have been on my farm for five years. This spring we put up run in shelters in the pastures. The horses do use them, thankfully, and they assuage my guilt if I hear a big storm during the night. One of my horses will use the shelter for light rain or daytime shade but in the case of a bad storm he stands outside. Not much I can do about that. It does make me feel better to know that shelter is there if he wants it, and my other gelding always uses the shelter during storms.
I also disagree about the need for 3 wall shelters. I would think this is highly dependent upon local weather. I am in the Southeast and hot weather is much more of a concern than cold. My pasture run ins have no walls at all - just a roof. I have a pony who lives in a run in and hers has two walls that are solid to 5ā on the North and East sides and a fan for hot weather use. In the winter I blanket the pony anyway, as she is old and loses weight if not blanketed.