This might be because:
Yes, thermals are insulation because they retain heat from your body while providing a barrier between you and the cold.
The best thermal materials for depth of winter would be heavyweight fleece lining or Merino wool.
Thermals provide insulation, helping to keep you warm during the colder months and also serves as a base layer that is used to help keep you warm.
If thermals aren’t thick enough or have little-to-no moisture wicking properties, your legs will most likely feel cold in thermals.
Thermal clothing should fit against the body closely, acting as a second skin to hold in warmth without feeling restrictive.