Yes, they have their own coats for a reason but as far as being natural...the same argument could be made for every breed of every beast we humans have come up with.
I'm actually not a fan of dressing animals up for our amusement but I do think that there are exceptions to be made...like for a chicken who is going through a heavy molt in extremely cold weather.
Those ponies are just adorable (imo)...and I love the sweaters no matter who they were made for.
They are quite territorial in general but there are always some who are more so than others and not all are good with other livestock. My jenny's mother used to attack the goats when they got too close to her and both girls preferred the company of our draughts over any animals smaller than them. The jenny I still have ruled them...it was amusing to see our massive Percheron mare who had such an attitude with everyone back way off from her food and let this pint sized little donkey have first dibs. Now the deer stay close to her, especially during the winter when food is scarce and she does watch out for them.
If you decide to get one, I would recommend getting one that has either been raised with they type of livestock you plan on keeping it with, or getting it young enough to raise it that way yourself.