Female perspective here. I'm actually really uncomfortable if I don't shave my legs really well before I put on my tail. A tail is tight and has your legs rubbing all up against each other. For me, leg hair is prickly and irritating in a tail.
That may just be because I'm someone who regularly shaves me legs. For you guys that don't, it seems to be different.
Trial and error is your best bet because it really just depends on how You feel.