More insulation has other tradeoffs. Look at arctic animals - they're not very agile or dextrous. Penguins, whales, sealions, polar bears... they're all 'lumpy' and nowhere near as agile as other areas. Even the occasional agile animal like a snow fox is 'lumpier' than its temperate brethren, but they only have to be more agile than the tubes of fat that hunt them.

Any time you think "why didn't this or that feature evolve a different way", have a think about tradeoffs in terms of survivability.