Of course there is going to be winter clothing in the game. That I am certain of.
I'd say you're right. There's really no reason why Bethesda wouldn't design clothing that would look appropriate for a cold environment, seeing as the game IS set in Skyrim. Yes, Oblivion lacked such things, but that's because the majority of Cyrodiil never had any snow, and I suppose that Bethesda didn't want to specifically design clothes that would probably only be used in Bruma and the surrounding area. As to Morrowind, the game never had any really cold environments prior to the expansions. But the new clothes added by Bloodmoon looked a lot warmer than what the game had by default to me.
Most likely, when designing the clothing in any given game, Bethesda takes into account the feel they want to go for with the game, and since Skyrim will certainly have a lot of cold, snowy places, NOT having warm clothing would seem pretty stupid.