We have a wide variety of English Rare Breeds, and all but one likes the comfort of their arc. Delboy, out Saddleback boar, always puts his bedding outside the arc, and is happy to lay in the rain, but he does have the option to go in if he wants to. He hates wind and snow, and likes to stay out of the sun.
All the breeds farrow very well outside, and since we have moved, we find that they are actually building beds/nests using not only the bedding provided, but are adding in dirt, leaves, branches and whatever they have around them at the time, rather than just re-arranging their straw. Linney has built her bed in her arc so high off of the ground that if she goes much further she will touch the roof! She is no fool though, she is very dry, and having reduced her space presumably stays much warmer.
I would never leave my pigs without the option of shelter. They should be dry, and out of the wind. If they choose not to use it then that is their choice.
Kate