I also have this and used from birth.... its fantastic you see so many people with them as they as so popular.
I would say you need the cocoon but I fold the top cover under the bottom so they just lie on the base of The cocoon. I have now removed it as my little boy is 4 months and got very hot in it but have a seat liner. You can get a summer cocoon from just kidding so they are smaller.
I used the Bugaboo bee from birth and you definitely need the cocoon. Am still using it and DD is 6 months now. Your LO will look lost otherwise without it and it might also not be too comfortable without it as the seat could be quite hard. It shouldn't be too warm if you only use the base of the cocoon and unzip off the top cover completely. Now that DD is spilling over the cocoon I need to get the seat liner.....
I have just bought a bugaboo bee ready for when baby comes in sept! Has anyone used this from birth? Do I really need the cocoon as it looks a little snug and warm! My sister swears by the maclaren from birth and I thought the bee was similar.... Anyone got any experience! X