I do want to know if this will work on the moon.
Really... down (and fleece, and polyfill, etc) jackets work by trapping air. What if there is no air?

Nice to see some genuine scientific curiosity, even if this isn't really the venue you'd expect it in. The answer is no. Heat is lost from your body in three ways: conduction, convection, and radiation. Conduction is through direct contact with something cold, like holding an ice cube, but since there's no air to touch, that won't be a problem. Convection is when air currents pull warm air away from you and replace it with cold air, which then gets you cold via conduction. This is how down jackets work; they make a pocket of warm air around you and keep it from being circulated away. Again, if there's no air, that won't make a difference either. Radiation is heat leaving your body via infrared light, which is created wherever there is heat. Space blankets work by reflecting that back at your body, so they don't need any insulation. That's also how spacesuits work. Down jackets, unfortunately, won't contain radiated heat, so to (finally) answer your question, if you were to wear this jacket on the moon, you would be as good as naked.