Thick clothing prevents the belts from a snug fit on your child's body. Especially in an infant carrier or a group I seat the correct belt guidance is not possible because the straps slip off the shoulders. In an accident a sufficient fixation is no longer guaranteed.
We recommend waiving thick winter clothes. Rather cover your child with a blanket or get a matching footmuff that has cutouts for the belts.
Generally there should never be more than an inch of space between the belt and child. If you take off the clothes while driving, do not forget to tighten the straps again.