Why does snow not stick to the fur of wolves and some breeds of dogs?
I couldn't find scientific references, but regular web searches basically indicate that long fur as well as webbed toes promote formation of ice and snowballs in certain breeds.

From Hubpages:


  The snow attaches to the dog's long hair, melts from the body heat, and forms ice balls that grow larger, stretching your dog's toes apart and causing cracking, bleeding, and hair pulling.  This is painful and distressing for the dog, who may then try to remove them by licking them, which then causes even more ice to build up.


And among the solutions:


  Clip the fur between your dog's toes. [J]ust trim off the excess fluff.


A typical breed thriving in icy conditions is the Siberian husky. A comparison to to an airedale terrier breed shows the difference in fur length quite clearly, especially around the areas most suceptible to come in contact with snow (legs &amp; chest areas):

  

And both breeds in the snow: