Its not simply fatness insulating. Its Heat Generated By body - Heat lost to cold.
Heat generated is essentially calculated by metabolic levels. More muscle or more activity = more heat generated (that is why you sweat at the gym.) Now, fat can increase metabolism as well, but, not nearly to the same extent as muscle.
Heat loss is a function of surface area to mass ratio. More mass per surface area = less heat loss.
So, people who are both fat and also strong tend to have both high metabolism as well as low surface area to mass ratios, other people who can wear shorts comfortably in the cold are people who are "stout" or have short limbs, or many athletes who have insane metabolisms...
Watch NFL players in the snow, they dont bitch about how they are freezing their asses off, because they have the metabolism to keep themselves warm...