After swapping bodies back with Donkey, Puss in Boots realized he still has the jackass' tail. After everything that's happened, he had had enough with swapping shenanigans. "As far as I'm concerned, that cat tail is yours to do what you want with and this ass tail is mine to do what I want with," he proclaimed. He used "Adaptation Powder" to adapt his donkey tail to his cat body. Unfortunately, he got the wrong brand which produces very different results. The Adaption Powder Puss in HOOVES used adapts the rest of the body to a specific body part. It's more complex but clearly effective.
As said above, at the end of Shrek the Third, when Puss and Donkey swap bodies back (side note: their body swap is probably the best part of that whole movie), they still had the other's tail. Yet in the very next scene their in, they have their normal tails. There are a few reasons why this might have happened: The "next scene" could've been produced first and the filmmakers didn't know what was going to happen before it; it's possible that they were just lazy and forgot to include the tail swap (given the quality of the movie, that's certainly a possibility). I personally like to think that there's a story we didn't see that takes place between both scenes.
AnthroEnthusiast has designed unique hand-hooves in this comic. They don't look very flexible, of course. Heheheh!