I have both down comforters and pillows and no problems here. I agree with Sharon, if they are peeing on something soft, they either have a UTI or their litter boxes are not clean enough. Also, if you have a cat tree for your cat to climb and scratch on, or some like a cardboard scratcher (I have one cat that is addicted to hers) they will usually scratch on those rather than your bedding and furniture.
The few times we had peeing issues, it was once UTI, and once, it was a covered litter box that even though I was cleaning the bottom out, I wasn't really cleaning the top as well as I should have, and it was old, and I think my peeing cat didn't like that. I got serious about litter boxes at that point. I have 4, with my 4 cats, and three of them are large, rubbermaid open containers, I use 35 pounds of litter (I like scoop away but it's dusty if you are bothered by the dust), I scoop them daily, wipe the sides down weekly, and take them out and hose them out about once a month. If you keep them scooped and wiped down, you don't really have to hose them out as often, and if you keep them topped off with litter, keep it about 4 inches deep.
I totally believe that keeping those litter boxes immaculate is the key to avoiding many peeing issues, that and feeding either wet food or raw food, and not kibble, which also can cause major health problems. And having places for your cat to be allowed to climb and scratch. They want to scratch those sisal posts more than our couch (most of them anyway).