According to the Doctors Foster and Smith website, cats do get thicker undercoats for the winter. This is a reaction to days becoming shorter. The decreasing sunlight alerts the cats' brains that cold weather is approaching.
When daylight hours increase, shedding also increases. Coat changes are more pronounced in outdoor cats whose bodies are responding to natural light and temperatures. Indoor cats experience artificial lights and climate-controlled rooms, so changes to their coats are often not as dependent upon the season. In fact, they tend to shed year-round. A high-quality food helps keep cats' coats in good condition, while daily brushing minimizes shedding.