There is no polite way to make what is essentially a political/ethical statement about anyone's fashion sense unless they have specifically asked for your political/ethical opinion.
Arguably, when a VERY close friend or family member is trying on (to buy) a piece of clothing such as a leather jacket or fur coat, you might suggest that it makes them look as if they support the leather/fur industry, and is that ok with them.
The general rule I have always followed about negative clothing commentary is comment only if a)there is a problem (item is backwards, stain, loose button, fallen hem) that can be fixed before the wearer goes much further, or b) the person has not yet purchased the item. You cannot politely tell someone that you don't like their taste.
And no, by wearing a fur coat the wearer is not really asserting anything other than the fact she believes it's okay to wear that coat in particular at that time. She may have gotten it from a relative and treasure it too much to not wear it. It may be a Fabulous Furs faux. She may be a rabid fur hater, attending a formal business party with her SO who has told her "If you don't just wear the coat and fit in this one time we are going to loose the contract and I want a divorce." We all make statements by what we choose to wear, but unless the clothing is illegal no one is asking anyone else to share their opinions on it.
All in all, it doesn't seem worth it to even try to "politely" share an unasked for, possibly unwelcome, and probably unagreed with opinion with a total stranger.