My friends in Montana have horses that are turned out to the big pastures over the winter. They grow shaggy coats and are never brought in, no matter what the temperature or weather, and they are just fine as long as they have hay.
It just cracks me up to see people here in Arizona putting blankets on their horses as soon as it gets to 50 degress. Brother! That is the kind of weather horses just LOVE. And then their people go and put blankets on them and make them hot all over again - just when they thought the weather was finally cooling down and they were thinking that life would be good.
PS: You can tell how well your donkeys are insulated if you go out on a real cold day and just rest your hand on the top of their fur. It will feel cool. Then snuggle your fingers down next to their skin and see how warm they are. That shaggy coat is like your down jacket on a cold day - cool to touch from the outside, but snuggy warm on the inside.