Well, i wouldn't call it fur i generally don't accept that ponies have fur. First they have a coat, which is like their skin but thicker.
And i think it's just the bone having a color. Because anything else would mean a thin coat is on there, NOW that DOES make sense and also is implied by the not-season-1-horns because they have a smooth transition from the head. But i think the skin would have to be under alot of vertical tension to stay on there and not look floppy. And that would lead to health issues with the skin there being fragile.
And when you look inside Fizzlepop Berrytwist's (what was her other name, i seriously forgot, Tempest!) horn, it has a color in there. Or if you look around the cracks you cant see any skin overhanging.
So, i would say... no.