I just tested this. Played 2 night games in April one with it closed and one with the roof open.
Roof Closed - the broadcasters mentioned it was cold outside but in the stadium the players had short sleeves, fans short sleeves, umpires short sleeves. Seemed like a normal indoor game.
Roof Open - Players long sleeves, fans big heavy jacket/hats, umpires jackets.
It seems to work like its supposed to.