Peetz: I've heard others complain of this. My roach has a tail, but I updated the patch and the DLC package prior to loading Blood & Wine. Could that be the difference?
No. When you install the 1.21 patch it warns you at the finish that DLC and B&W need patching to match. I did just that, and my Roach has no tail. (see "however" below)
RSColonel_131st: Maybe it has to do with the type of horse gear you are using...
No. I removed all horse gear, including tropy, and still no tail. However... some horse tackle, particularly heavy gear, will give you a false tail as part of the saddle, like the Beauclair stuff. Take the saddle off the tail's gone again. This has to be a bug with so many people reporting it.