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I've not found that to be a problem, but Harley offer their knits in a standard Shetland as well as a brushed finish.
Unless it's just being worn outdoors, I find anything thicker than a submariner needs to be a cardigan or easily removable. I've got a Black Sheep Knitwear shawl cardigan that's great; if their jumpers are equally heavyweight they'd deal with all but the very worst weather.
+1 to the Harley shaggy dogs - I've bought a couple from All Blues Co., and though they're not particularly heavyweight, because of the fuzz they're really quite warm.
For properly heavyweight jumpers I've got a couple of Outdoor Knitwear submariners; they're the Leicester-based supplier of the real thing to the RN, and do contract manufacturing for other brands. Most of their stuff is utilitarian rather than stylish, but it's good VFM. I think at one point they manufactured for North Sea Clothing, who do stylish but pricey knitwear.