They could but the shadows produced from the seams would really stand out, not really a problem with an alien though.
I just feel that going a real fur route would result in a better looking figure then anything sculpted could achieve.
I agree real fur would be the way to go. But I have doubts they could make it look great mass produced. Would the fur be attached to a rubber or spandex body suit with an articulated figure inside or be attached directly to the figure? Would they use the tall armored figure body, the same one as Vader?