They are insulated because space is a wild set of climates. Imagine standing inside a huge deep freeze with a million watt floodlight 10 feet from you pointed at your back.
So you wrap yourself up in crazy amounts of insulation to keep from freezing and boiling at the same time. But now all that body heat you generate is trapped in there with you. So you have to remove that and radiate it away. Spacesuits have chilled water lines running through then and that keeps you cool.
So the spacesuits provide full climate control along with the proper amount of atmosphere.
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