I saw the coat as more of the mark of an out lander; Sora, Donald and Goofy being the only real out lander's to not wear them. Non-Organization members like Riku (in 2), Ansem (the villain from the first game, even though his was brown), king Micky all wore them.
I liked that Micky was so mysterious in the first game, but then again, there was a lot going on in the first game that the player really didn't understand. In the second game, all these things were revealed and there was a greater degree of understanding as to why these events unfolded how they did; Micky was no longer a mysterious figure playing in the background, but instead, Riku and (to some extent) DiZ were the enigmatic figures acting behind the scenes. I liked this change, it was a break from the usual formula of "there's this one guy always playing the background, and hes always the same guy even as the mystery changes".