[They just seem rather vulnerable from Espio's perspective...]

No, that's all to look presentable. It's the SeeD dress uniform. I only wore it when I needed to be all "look, I'm important and official", which didn't happen a lot.

Clothes don't actually do a lot to keep me warm, you know. They keep the wind chill off, but I don't generate my own body heat, so there's not much warmth to hold in.