It sounds like you are a little shy or at least new to hotels and stuff... Don't be afraid to be assertive! You are the customer, it is within your right. There is no reason why you should have to put on a sweater just to go to bed. I would keep calling the front desk until they've moved you or fixed the heater, that is unacceptable.

If there is no night manager though and the front desk isn't being helpful, make sure you do deal with it in the morning and do not spend a second night in those conditions.

As for your coworkers staying in a nicer place... Welcome to the corporate world. That is one of the reasons I left it and started my own business 5 years ago.