Sorry i cant do more to help at this stage but my cat has exactly the same thing, when we got him home from the breeder we noticed it (the breeder CLAIMS she knows nothing about it and he wasnt injured). After taking him to the vet the vet drew a blank but gave us Malseb shampoo to shampoo him with (he also had ringworm, again the breeder claimed they knew nothing about that either). I have now had him for over 3 months and his tail problem still hasnt gone away although the ringworm we now are on top of. We are going back next Sat morning to have his tail checked again so i can tell you more then. What i would suggest is that you have him checked for ringworm, however i agree with Kitytize it does sound like it has been damaged somehow, i sometimes see Dexter (my cat) sitting by a door with his tail near the hinge of the door frame it does make me wonder whether he got it caught while at the breeders house with out anyone realising, cats are very good at hiding pain, does yours seem in any discomfort? I know mine bites it now and then which also makes me wonder whether it is more of a skin condition. Annnnyway sorry to not have been more help, hopefully i can shed more light on it next Sat. If your cat does seem in pain take him to the vet straight away.
Anna and Dexter