"a philosophy and way of living which seeks to exclude—as far as is possible and practicable—all forms of exploitation of, and cruelty to, animals"
How much animal hair does humanity need to survive or thrive?
Can animals be harvested for their hair/fur ethically? Of course this can be done, to the extent that humanity isn't dying to cold and animals aren't suffering as a direct result.
Can leather be harvested ethically? Of course, animals die without our intervention.
Veganism suggests we should avoid creating unnecessary suffering.
As far as our thermal insulation, it's an interesting learning opportunity. I don't have an answer to it- my knee jerk reaction is to suggest that the adoption of fire making would potentially insulate us enough to evolve away from a full body of hair.
Upon investigation, that is suggested, however there are some other interesting considerations in this article:
https://www.smithsonianmag.com/science-nature/why-did-humans-evolve-lose-fur-180970980/