You certainly won't need it to get around. ;-) But for me it's really to protect myself. At night, temperatures will likely drop below zero Celcius. Even if I don't need anything more than a warm coat inside the arena, outside, I'm gonna need more than just a warm coat. I don't go outside here at home in Holland in the winter months without gloves and shawl, either, and it's a lot warmer here than in Helsinki. If I do, I get dead fingers and toes. It's not nice. :noshake:
And I have had bad experience in a very cold arena; I'm simply not taking any chances, especially not considering I will be sitting still for hours on end. I'm sitting near to the ice, my legs will likely not be happy if I only wear a pair of jeans, even if the arena is supposed to be decently heated, even the website says you'd need a coat during ice hockey; I'd assume the same goes for figure skating events.
I am checking in a suitcase, I plan to use it.

Better to have stuff and not use it than the other way around. I'm not planning on buying a suitcase full of souvenirs, so... *shrug*