I have an adult Maine Coon and he is a walking fur factory. I have never seen so much hair on one cat. His actions are very different from other cats I've had, he avoids sunshine, he doesn't like to sit on laps, and he always sleeps stretched out vs. curled up on the coolest surface available. To me that indicates he's plenty warm and desires no excess heat. However if you put a box down he'll claim it instantly.
I have always thought cats like boxes because it feels secure to them. A Reddit post once commented "Cats are in a difficult position - they're small enough to be prey but they think of themselves as predators. So their natural state is somewhere between dangerous and nervous." I think the enclosure of a box gives them some peace of mind.