Many people and animals find continuous firm pressure over the torso calming, and suppose Bucky happens to be one of them. (His Commando coat with all the buttons looked really warm, and also a bit tight.)
HYDRA discovers that buckling the Soldier into that fetishy armored jacket makes him more tractable because it takes the edge off the constant despair and panic they put him in. This causes complications like chafing from techs leaving it on too long, or the Soldier clinging to the jacket, or resisting getting undressed.
Later, Bucky is conflicted about body armor, feeling ashamed that something that reminds him of HYDRA could make him feel a little safer.
The Winter Soldier's body armor doubles as a Thundershirt
HYDRA discovers that buckling the Soldier into that fetishy armored jacket makes him more tractable because it takes the edge off the constant despair and panic they put him in. This causes complications like chafing from techs leaving it on too long, or the Soldier clinging to the jacket, or resisting getting undressed.
Later, Bucky is conflicted about body armor, feeling ashamed that something that reminds him of HYDRA could make him feel a little safer.