I would consider something like this just to protect me from monsters.

Make is black so that we can darken the "room" and sleep in longer.

People have been doing this for CENTURIES.
Have you ever heard of a "four-poster bed"?
http://www.gosevilletefl.com/wp-content/uploads/2013/11/four-poster-bed-drapes.jpg

All well and good until you need to get up for a leak...

I fear it would just end up as a larger Dutch oven...

A canopy bed, straight from the Middle Ages. https://en.wikipedia.org/wiki/Canopy_bed
Low tech, our future.

What do you do with it when you want to make the bed? A lot of bedrooms are too small for a bed, and this device simultaneously. Dismantling it and reassembly would be a chore. Putting it out through the door of the bedroom could be an inconvenience. Something closer in style to a fourposter with curtains would probably work better, so there is room to operate inside the canopy. When a person sleeps, they expire 2-3 pints of water overnight, how porous is the canopy to prevent condensation?

I've been doing this for years. Camping, I set a small tent inside a large one to keep dust and cold out(burning man). (Another option is to use a swamp cooler ducted into the space to cool it, more efficient than cooling the whole room or tent) If it's really cold, you can heat up that small space even better by putting a light bulb under the bed.

Or you could just use a down comforter.

From a purely cocoon perspective this initially is just psychologically a warmer shelter. It may however reduce the drafts coming through the room, but then you have bigger problems and need to control the house environment.
1. In a colder room, the temperature of everything in the room is cold, say 16 degrees C (61F)great for sleeping in.
2. As you first get in & under the sheets everything is same temperature till your body gives off the heat and warms up the sheets, comforter, & pillow.
3. The air you exhale as mentioned is warmer but also very moist this will only slightly warm the inner chamber, and depending on what you are doing under the sheets, also the volume & caloric value.
4. More useful would be get an electric blanket, or a pet or partner to warm the bed up first.
5. Surely everybody has tried the old cover & blanket over the head with nothing exposed, only to gasp for fresh air after a few minutes of quick warm up, only to feel damp and clammy after the heat dissipates through the bedding.
Preheat the sheets, and covers, then whole room stays cool, and you'll fall asleep more deeply and soundly. How you accomplish that is up to you.