You might want to rule out any type of metabolic or dietary issues that may be causing the unusual coat condition. I had a mare who had an unusual winter coat far before she was diagnosed with Equine Metabolic Syndrome or EMS. Upon dietary changes to control the disease, the unusual coat condition went away. However, chances are your horse just feels better after a good roll in the mud. Try to let it dry and then give him a squirt with Show Sheen and rake it out.
Any time spent with horses doing anything is a good time!