My understanding, learned in mmy diving days, was that goosebumps are not vestigial but simply an effect of the body removing blood supply from the body surface to minimize heat exchange with the surroundings.
Very well could be, and as an added benefit, your fur (if you are an animal with fur) stands up straight as a result of the muscles tightening around the hair folicles which also minimizes the heat exchange you refer to. Sounds like pretty effecient design work to me.