Those hair-like structures are probably for sensory perception. Vibration and touch. Mammalian hairs developed from similar structures (prototrichs), and are still used for those purposes as whiskers on cats and other mammals. Nocturnal existance in mammals probably led to development of hair, insulating properties fast-forwarded the changes. Nocturnal existence helped them avoid competition with the dominant reptiles and dinosaurs of the time, who were poikilothermic (cold blooded) and functioned better during the heat of the day. Many people think mammals arose after the demise of the dinosaurs, but they coexisted from the start. The extinction of dinosaurs just eliminated the threat and competition, allowing adaptive radiation to occur in mammals and allowing them to change to occupy a multitude of evolutionary niches previously occupied by dinosaurs.
Existence in deep, dark ocean depths would be made much easier with the structures you describe.
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