Northern, I have considered it. Today is it -47 celcius with the wind, and there is no need for swishing pesky bugs, she is blanketed and quite content to hang out at the hay bale. In the summer I put a fly sheet on her to compensate for her tail being in a bag although she is still able to swish it and get flies off if need be. Nothing stops her from expressing herself with a tail bag on, she swishes that thing at will.
I have noticed absolutely no negative affects from braiding or bagging her tail.