We have very dry air where I live, too. In the winter when we use the central heat I put my humidifier in the glider room just to be safe. Super dry air can cause the fur to "crack" a bit. It isn't harmful for the fur, but it does make it look a little messier than the normal sleek coat.
The bigger issue is too dry air can cause their ears to chap. Their ears are so paperthin any damage to them can make the edges dry out too much, become brittle and corrode a bit.