Somewhat before the start of the Winter Bash, the SE team contacts the per-site moderators to ask if the site wants to participate in the event or not (this year the default assumption being that the site participates, differing from last year's practice).
The reason that MO does not participate is (almost surely) that its moderators decided the site does not want to participate and communicated this decision to SE. Note that also last year MO did not participate for reasons along the lines given above. This has nothing to do with the domain name; stackoverflow.com has hats while a site with URL [something].stackexchange.com domain might not have them (I did not search for an example, but as explained at the start it would be possible).
To be very precise, there is a slight difference betweensum this year and last yearup: this yearon the eventtechnical side there is opt-out last yearno issue at all, MO could have hats; it was opt-insimply decided against having them for this year.
