Building a shelter is not a requirement for survival, however it is strongly recommended and can earn points for your team. Within, one is protected from the elements, retains more heat, and is provided a sense of security.
When you are sleeping on the ground, a large amount of heat will be drawn down into the earth. You want to have insulation beneath you. Dry leaves can work, but pine needles and dead grass work better.
Why is this shown first? Because it is more important to insulate yourself from the ground than have a roof.
The lean-to is an easier project that retains some heat at night as well as sheds precipitation.
Construction of a lean-to starts with the larger pole that runs along the top. It can be an attached windfall, a pole that's lashed to a tree, or something that's propped up with supports. The roof is covered in branches, grass, a tarp, or anything else to make an enclosed area.
It is easier for your body to heat a smaller space. It's even easier when there's multiple people in a single shelter.
You can just wrap yourself up in a Mylar blanket to stay warm. This will work even in very cold situations, but it's not an insulator and any part of your body that is touching the blanket will become cold rapidly. Don't use it this way; instead, one should sit upright and wrap it around your body.
This blanket can also be used underneath the roof of your shelter to reflect some radiant heat back down to the occupants.
Rune Malte Bertram-Nielsen
Bushcraft: How to make a lean-to shelter from only natural materials - survival shelter
There are no words in this video, but he goes through the process of building a lean-to, complete with a platform to provide insulation from the cold ground.
A space blanket as an emergency shelter
Illustrates the right form when using a Mylar blanket. Sitting, with the blanket wrapped around you. Slightly incorrect when he says the blanket is insulating. Great tips at the end.