Simon,
I am a biologist in profession and in my spare time. My job is to detect agricultural pests for my county, a couple of which are moths no bigger than 3-10mm in size. So, I spend quite a bit of time peering through microscopes and dissection scopes to properly identify any suspects.
Scales being removed is something that often present a bit of a problem for me. We use sticky traps to capture them, so often times, identifying features such as the presence of scales above the eyes are messed up by the glue. Scales are really easy to remove. For instance, even a perfectly preserved (non-glued) specimen will probably lose many of its scales when I turn it over to check out its abdomen - JUST from dropping some solvent on it. If you touch the scales, they come off - even with a probe. This means that hard rain will remove all of its scales. To my understanding, the scales provide insulation for the moth (as well as the other listed functions). This is probably the most important function. However, my personal theory is that the scales assist in flight as well (much as a birds feathers help it to fly by increasing surface area without adding too much weight). So, yes - if you remove the scales, the moth will probably die. If the rain is hard enough, it will knock the scales off. However, a fine mist probably won't penetrate the powder in most cases or cause damage. Lastly, some moths actually do have a waxy substance in their scales as a defense mechanism. In this case, the moth would indeed be waterproof. The scales can still be removed if roughed up too much, though. So, most moths hide under leaves (or under awnings and the like) when it rains. This is where they tend to rest anyways as a defense mechanism against the very topic you've addressed - adverse weather.
I hope this helps.
Cheers!