1. There's no meat to shield on your knees, but there's not really anything else there either (just bone and tendons and stuff)
2. I would think that the circling pedal action would keep the knees pretty warm.
3. I have never ever seen anyone wearing anything like that.
It sounds like someone's putting out false or misleading information to try and make a buck.
edit: leg warmers just look like pants, i was thinking of something else....