There are no problems in science, only opportunities.
I think this is fascinating. If this isn't some aberration, it means that there were closely related species, some with feathers, some without.
One possibility is that feathers evolved more than once. I think this is highly likely. This means it should be possible to find different genes for feathers from widely divergent modern bird species. Unless of course, the line went extinct.
Just compare ichthyosaurs to modern whales. Many similar traits in distinctly different lineage of species.
Weren't pterodactyls furry? I believe they were archosaurs, so they aren't closely related to mammals.