Ilannaq's fur texture is gorgeous, and I can't compare mine to theirs since we have very different techniques and styles. ^^'
For this piece,
https://i.postimg.cc/ncrqktSM/donez.png
I did a plain flat color with the coloring on one layer, and lineart on another. I draw where the shadow would be, in this case, lower right since the lighting is upper left, and use gaussian blur.
I clipped a layer onto the colors with a light blue on multiply. From there I erase small strokes where the light would hit the fur and use the watercolor tool on very low opacity (Nothing above 10), using white, to blend it back in. You can also use the smudge tool for a similar effect.
If it's too light or dark, you can adjust the opacity or use watercolor with a slightly darker shade. I personally never use black, unless it's purposefully shaded like that, and use complementary or opposite colors of the pelt.
I do the same method with adding for highlights,
starting where the light would hit with a dark color, and use gaussian blur. From there I erase where shadows would be and use black for the watercolor brush to blend it back in.
This is a fairly new style I'm trying out, as I personally like the painted effect it gives pieces ^^
I can't guarantee it's perfect :')