I would not put a tail bag on his tail it will restrict the tails growth, my horse had surgery and had to have his tail wrapped every day for 5 weeks it totally killed his tail it thinned out and is just now growing out!
I adopted an older TB mare that came almost without a tail.... poor thing she had marks on top where she was obviously rubbing it out but who knows why the rest of the tail was so thin.... anyway I digress. Someone on the forum told me that tail scratching and butt scratching in general is a big sign of pin worms. So I wormed her and put some insecticide gel on her tail. I got her last summer and her tail has grown back alot! And I never see her rubbing it anymore. Never sawq that after I wormed her. Its very thick now but only about half the length of a normal tail but its getting there :)