I just saved one sim from Grim after she collapsed from freezing. She was on the street in front of my sim's house and my sim convinced her to group up. It would take too long to walk back to my sim...
I see. The clothing itself doesn't have a protective quality. The category does (the slot in CAS). Any clothing used as a cold weather outfit protects from the cold, even a bikini.
Which means the athletic wear slot can't keep a sim warm.