A tail has bones in it. You can't just bind it down flat; it has to be able to lie somewhere comfortably. I imagine you would at least need to pass it forward between your legs and then... where? Back around a hip? Up to the stomach? Any which way it went, it would hamper movement and probably hurt the tail as well. And that's for the relatively flexible Miqo'te – Au Ra tails with their scale plating are both naturally armoured and likely to be stiff. They still move, of course, but there's probably a limit to how tightly they can curl up.
I am undecided about the idea of sometimes hiding them with capes and pretending that they are just hidden by the cape, because I haven't seen it in motion yet, but you can't say that it could really work like that.
(More sets with armour over the tail would be nice though.)
As for horns, yes the helmets should probably be armoured to cover the ears, but since they aren't, it's not as if you can hide them.
This.