That would be extremely uncomfortable if that was his fur, I would think. It's the armor.
I agree it would be nice if the armor accommodates the tails of the beast races but I doubt it will.
In response to The Tribal, I hated the Morrowind legs too. I don't want the feet to be spray painted human feet like in Oblivion, but I certainly don't want to see deformed Morrowind legs. I understand people want them, but I can't get over that they aren't structurally sound for a bipedal being.
What use does a Khajiit have with fur armor? They are already covered in Fur to keep them warm, therefore it may be his fur.
They Khajiit are native to a very warm climate. Just because they have fur doesn't mean they never feel cold. Many house cats for example like to stay inside most of the time in the Winter in places that have cold Winters, and during colder months many cats love laying near heat vents and such, and zoo cats love heated rocks, etc.