I started a complete new play-trough (and also a "fresh" GOG install with all DLC's, updates, HoS and B&W).
The tail is not present in the start area (White Orchard), but when I reached Velen at the Hang Man Tree, the tail is back again. I cannot comment on Skellige, because it will take some time before I reach the area, but I tried a few minutes in B&W, just enough to enter Toussaint, and the tail is present there also.
It looks to me that the tail disappears in the area you start the game (except for the start of B&W), or go back to after installing the Patch and expansion, but I cannot say that for sure. It's just an observation.
Experiencing this bug only since the ending of B&W. Never had it previously during the expansion.
Tried un-equipping the saddle/blinders then re-equipping them but nothing.
GOG Galaxy version 1.21.
As a follow-up, in case it helps any, after replaying the ending twice for each of the final paths the only time Roach's tail has disappeared has been in the 'good' ending. The other two endings keep the tail attached. No other changes to Roach's equipment changed in the playthroughs.