Animal behaviorist David Peiro told us Chiquito needed a "security blanket" which was how he initially used it, and sometimes still does. What I failed to "see" (since what we see and what we observe are different things) was that he also used it as an actual blanket...which is why I never thought to give one to Lolita.
Chiquito spent his first two years living like a human child. He used the toilet and flushed, he drank milk from a sippy cup, and he slept in bed with his surrogate parents. So given the adage "monkey see, monkey do," it isn't surprising that Chiquito learned to cover himself with a blanket.
It's possible that, like Chiquito, Lolita is imitating us. She sleeps in her playpen on my side of the bed at night, and occasionally even snuggles in our bed for a while after lights out. It's also possible that it's a normal primate behavior to cover the body with something when sleeping (and vulnerable). So even though a blanket isn't "natural," maybe primates in zoos and laboratories (which aren't natural habitats) would be happier with blankets, too?