They DO shoot darts with fish hook type barbs. You are correct that they might not make it past a thick fur coat; but just like they dont always make it past a human's heavy clothing--they still work even when attached to clothing.

I would prefer if they made contact into flesh; but I suspect that they will get stuck in fur and as fur is part of the animal likely have better effect. IF the probes fail to make an electrical arc, then touching the animal with the gun will complete the connection---although being close enough to touch the bear might be "exciting"....