Looking at Marks' tute and simulation (https://forum.reallusion.com/FindPost447845.aspx) gave me an idea to make an interactive blanket, which could be controlled by user/character.

Here is a Beta version:



Blanket has 2 locks bound to front corners. 2 spheres are inside locks serve the purpose of driving and animating the blanket.
The concept is pretty much similar to the flex cable (https://forum.reallusion.com/FindPost443792.aspx)

I am enclosing the project and .blend file, so that blanket/locks can be tweaked and re-imported into iClone.
https://www.dropbox.com/s/xb0vabyfghirxfh/Dynamic_Blanket.zip?dl=0

In the sample I only use one lock to drive blanket.
I did not test it with characters and not sure how well it would behave, when character would try sliding feet under the blanket.
One thing is for sure - blanket should have relatively high value of Solver Frequency in Physix for locks to stay in place securely.

There is chance blanket would need an additional lock/driver on the side to give more room for getting under. It can be added in .blend file, or just let me know and I'll add it.
Note however, a cloth can only interact with 32 spheres or 16 capsules at a time. Having too many locks in place would leave less capsules available for interaction with character.

As with flex cable, special care should be taken while animating drivers. Since you cannot see the result while animating them, try to imagine how the cloth should behave in real life and try to simulate accordingly.

To have the character pull the blanket you should link driver sphere to characters hand and release the link when character is in bed and covered with blanket.
This concept can be used with practically any soft cloth items, which need certain degree of animation control on the timeline.

2 pillows in sample project have morphs to accommodate characters head going down, but it was done specifically for this demo (https://forum.reallusion.com/FindPost442618.aspx). Still might work for your case.

Regarding 2 character. It is possible to have 2 characters slide under the blanket (not at the same time though). But it is quite complex.
I imagine one is getting under the blanket.  Then you should bake and then "hard" bake the blanket by exporting as Alembic and re-importing via Blender.
Then apply weight map, so that blanket portion over first character is not interacting. At this point in iClone blankets are swapped with visibility setting.
Now the second character is getting under without affecting the first character simulation. And so on...

Sleep well :)