Because that's what we do here at BPL...
Yes, wearing a hat will, generally, reduce overall heat loss and to a degree lessen the vasoconstriction of the extremities. But distal thermoregulation is much more complicated than that, not even considering the effect of circadian rhythms as well (which, for many of us, can be thrown off in the wilderness when we go to bed at 7:30 in the winter). And for many folks, this system doesn't work very well at all, ever. That's why there are so many people with cold hands or feet even in the house, wearing tons of clothes.
When you sleep your heart slows (bradycardia), which is one reason why, even at home, you get chilly when you are sleeping. In colder temperatures, this bradycardia increases even more, and even without vasodilation/vasoconstriction at play, the blood flow to your extremities is reduced.
The face also plays a huge role, since exposure of the trigeminal nerve (one of the main nerves of the face) to cold activates a sympathetic pathway that induces vasoconstriction, as well as a parasympathetic pathway that induces bradycardia. And since you can't bury your face in your nice down sleeping bag without causing lots of other problems, sleeping outdoors with your face exposed can also cause a cooling of the hands and feet.
So yes, we should all be wearing hats and balaclavas and goggles to sleep when it's cold out...but for many people its not nearly enough to maintain adequate thermoregulation of the feet.
And no, please don't actually sleep in compression tights. They're great for walking...but not for sedentary stuff.