You have to look at this perspective: it evolved from a sheep that had a lot of wool on it. As it grew older it started losing all that hair. That's why in its Mega evolution it retains the wool that it used to have on its younger days. It makes perfect sense for it to grow some back.
Gen IV FC: 2536-3829-5092 Gen V FC: 0819-4243-0361 PSN: blueink8