Can I put forward the 'shaved ape' theory? Essentially this tidies up a few loose ends quite neatly.
Firstly, humans are the only creatures on the planet that actually remove their body hair. No other healthy, furry animal does it. Why?
Aliens are reported to be hairless as well. Obviously they shaved an ape or a monkey when they introduced the first humans to the alien tech we now recognise as 'the razor'. It is alien tech, since it is a tool we really have no other use for than shaving body hair.
The aliens are still shaving apes and monkeys as part of their 'experiments'.
There's plenty of anecdotal evidence that supports the existence of shaved apes living in our society, just ask anyone who has had a negative encounter with bureaucracy at any level.
As the hair grows back over the course of the month, the ape or monkey takes on a grey or black coloration. Of course only true humans and aliens have the razor. Because the aliens have been shaving them the longest, their genetic memory compells them to head to the hills, forests and other areas where ET lands so they can be shaved again.
Humans are notorious for misidentifying creatures that don't look typical for their species, so 'greys' and werewolves are nothing more than shaved apes.