The problem with using actual fur is that it may fall out, or get dirty if handled by morons. There is the distinct possibility of tiny bits of it falling out. Also, by nature of it not being a styrofoam cup, it will eventually degrade over time and fall to pieces. These things need to last at least 4,000 years or it will be a customer support nightmare for MR.
The current factory solution involves carving the bear out of styrofoam, coating it in a fiberglass resin, and painting a very convincing fur like texture over it. While it sounds awful, we just need to place blind faith in Master Replicas and understand that this is the best fozzie product that we will ever have the honor of buying. Don't worry though, it looks a lot better in person than it does in pictures. Speaking of pictures, you need to order based off of a picture completely unrelated to what the product you are buying actually is, and a low res one at that.
Thats the bad news, but the good news is that he's only coming in at $150 more than what was originally suggested would be the price, and his hat has been abandoned due to budget constraints. However you won't actually find this out until you open the box, because none of the product literature will be adjusted to reflect this.
PS. I kid because I love, and I want fozzie to be spectacular. Also because I am a miserable, sarcastic, passive aggressive, jerk.