Cotton shells, like the Swedish Army smocks popular with the Sub Zero Crew on here, will retain snow. Specially if it's wet. Modern materials like in my new outer shell, a British army MVP jacket does not. And if some stick you just shake it off, as unlike on cotton, it does not stick. But those smocks are superb for where they seem to like to go like Jokmokk where the temps are dry cold. Bellow -15 Gore tex breathing capabillity is out classed by cotton shells anyway I've read somewhere.
I had problems with my gaiters this year. They snow stuck to them, melted from my body heat and the gatiers got soaked trough. Luckilly my goretex trousers kept the water out. It became better when I had the gaiters water proofed. But the wet snow still stick. So next season those will have to go.
Same with the old cotton combat jackets of the Norwegian army. In cold weather, and then I mean -5 and waaaaaay bellow, they are fantastic. But over -5 in snowy weather they are rubbish. As snow sticks and you are constantly brushing it off. Thats one of the main reasons the army switched to modern materials.
As for furs. Wolf skin trimmings where used in smocks in Norway because it does not freeze around the face, and it helps to keep the snow off your eyes in a storm and also gives you shade in sunny weather, and the condensation from your breathing won't freeze on it.