This is what we do for our 2 yr old
My daughter (2 yrs old), who is generally hot, wears long sleeve PJs and pants, socks, and gro-bag, plus I put several little blankets on her (with the 1 fleece blanket tucked in to sides of crib). The reason I added the blankets was because she would cry in the middle of the night or during her nap with her eyes closed--she wouldn't wake up. Once I held her and warmed her up, she fell into a deep sleep. She was clearly tired, but uncomfortable (not hot, but cold). Since adding the blankets, she sleeps soundly through the entire night. And yes, we have a mini-heater in her small room. Otherwise, it'd be REALLY cold. Check the hands to see if your child's is cold. My daughter also sleeps with a little comfort "blanket" in her arms (it's really just a shirt and her favorite stuffed toy and doll).
Since my daughter is generally a hot child, I think that your child's issues must be it's too cold. However, the other issue may be that he feels very constricted with the many layers (not necessarily hot but uncomfortable), as my daughter was very bothered wearing a shirt, sweatshirt, and sweater, followed by a coat after her teacher sent her out the door after class not knowing I was about to put her coat on as well. I think using blankets allows for them to move about more, kick out of them if they're hot, but not freeze entirely because of the grobag.