Why is duck fat less saturated than cow fat?
Because ducks need to float and cows don't. If there was a densely fat duck it wouldn't float or fly very well and it wouldn't survive to reproduce.

To answer your question, the composition of fat varies because of the different conditions in which the organism needs to thrive. Fur is different as well. Bear in mind nature is a cruel place and any tiny edge you can get is vital for your survival.

My answer is a bit general but I hope it addresses the question.