I had this problem also. Turned out that in my case I had loaded the xgen description before Mental Ray had been loaded. As a result, there were no xgen materials (which are mental ray based) and nothing attached to the fur to render. I tried creating after loading mental ray, but it didn't work unless I started new scene, then loaded mental ray BEFORE opening xgen at all. As far as I can tell creating a fully functional xgen shading network requires more knowledge of xgen than I have and therefore seems best to just let the program create it by default. Hope this helps