You can still carry on with the sleeping bags if he's happy with them. We moved to duvet for a few months, but then moved back to a sleeping bag until he went in his big bed. I just found that the cot duvet was too small cos he wriggled about soooo much it was always screwed up in a ball at the end of the cot by morning.
As for pillow, again if he's happy without don't worry about it.
Oliver had one from 11mths due to suffering with a cold at the time. He was quite happy with it for sometime untill he started sleeping on his tummy more and didn't even touch his pillow.
He has a v-pillow in his bed now, but again most of the night sleeps on his tummy unside down in his bed.
You could maybe give them a try, but tbh..I would recommend the sleepbags for winter. Oliver is 20mths and still hasn't quite cottoned on to pulling the covers over him if he's chilly. He just shuffles down into his bed now