For the question you actually ask, about team riders, the answer is that its a personal thing.
Keep in mind, though, with a pro rider (any sponsored rider, in fact) that there may be contractual things which require/prevent them from wearing certain things. The range of kit available to them will depend on the depth of the sponsor's pockets.
Someone like Santini, for example, produce lots of different clothing products (they have a catalogue online) and so getting each and every product made up in team colours will be prohibitive for the smaller teams. (I suspect non-team clothing is not an option for the riders, and you do hear stories from way back about riders sewing their sponsor's labels into their preferred clothing, so as to "appear" compliant - a bit like footballers and their boots.)
As for the rest of us....the general rules are (a) to wear your layers many, thin and wicking, so as to prevent getting sweaty (and therefore damp); (b) not to allow yourself to overheat during the ride - in practise this can mean starting off cold and relying on the exercise to get you warmed up.
Those two are good for the dry. In the wet, bear in mind that the more waterproof you go, the less you will wick, so it is a sliding scale. My personal preference is to accept that you're going to get wet, but to concentrate on wearing clothing that will dry quickly once the rain stops. But this rule doesn't work very well though for e.g. winter socks (and shoes for that matter) - the combination of cold and wet is always difficult to overcome.