The case
Hundreds of pages of a small monkey getting into trouble, and people remember a curling tail helping him up the trees. Flip through any of the H.A. and Margret Rey books: no tail.
The Reys drew George with the proportions of a chimpanzee, which is an ape, not a monkey, though the books call him a monkey. Everyone knows monkeys have tails, so memory adds one.
Why our brains do this
The books say "monkey" and monkeys have tails, so the label overrides the drawing.
Sources: Wikipedia — Curious George · Wikipedia — False memory: the Mandela effect