Guard hairs are generally thicker at the base than at the tips as you can see in human hair. When this fur is packed together in a thick coat the change in cross sectional area may encourage water droplets to move towards the tips due to the surface tension of water (aided enormously by shaking). The difference in diameter is similar to the denier gradient employed in our fabrics.
Denier gradients can create directional fabrics that help move moisture away from the body because small diameter fibers are more easily encompassed by water than larger ones. This aids drying of the fabric and is driven by body heat from the inside and wind and sun from the outside. Denier gradient fabrics are also employed on some baselayers for improved wicking.