My TB is in a medium weight at night now and a rain sheet if it's wet.
My big mare is naked but will be being clipped at the end of the month so will be in a medium weight at night also until they start coming in at the end of october.
I agree that if you keep shetlands and the like, that they should be roughed off suitably but if you keep horses for riding then a wet, muddy, sweaty horse isn't very practical through winter!