He was wearing the robe when he alighted from his horse. If you look closely, you can see that. He isn't wearing a robe-type thing during the actual Quest because it just isn't practical. It would just get in the way.
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But Melkor also was there, and he came to the house of Fëanor, and there he slew Finwë King of the Noldor before his doors, and spilled the first blood in the Blessed Realm; for Finwë alone had not fled from the horror of the Dark.
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