I use an assortment of polos as well as knock-off professionalschoice SMBs, and Dressage Sport boots.
Personally, I like to ride with some kind of boot/wrap 4-5 days a week, and at least one day without anything. In the dressage ring, no sort of leg wraps are permitted so I don't want the horse to "rely" on the extra support/protection all the time.
I worry about polos being to hot too. Having boots is never a bad thing. My horse used to be perfectly fine, never knocked herself at all, but this year all of a sudden she started to knock her hind legs up to the point where she would have scrapes and scabs all over them. I just use simple, inexpensive wood wear brushing boots and they get the job done without breaking the bank, especially since you're not having any problems.