The short answer is "yes." In my opinion, all horses should have the option to get out of the rain, wind, snow, cold and sun...they should be able to get out of the weather if they want too. Do they need a fancy barn with a stall, rubber mats, heat, fly sprayers, etc.? I think that stuff is mostly for the people. Farletta HATES being in a stall. She has had the fancy stall and the not-so-fancy stall and in any case she circles endlessly and in worst-case scenarios she kicks the crap out of the stall walls (plain or varnished, she isn't picky -- she kicks them all).
Farletta (and pretty much any other normal horse) prefers "free-choice" shelters. Her choice is frequently "No Thanks"
I think it's cute how we humans think we know what our horses want but when given a choice, they tend to prove us wrong every time :)