It's not that it isn't cool... it's just probably not what's supposed to happen. It doesn't happen all the time, and sometimes Morokei goes over the Archmage Robe hood, but most of the time the Archmage robes and my other clothing are visible, but Morokei and my body are invisible.
Also, does anybody else have hair that comes out of the top and back of their hoods? It's fairly immersion-breaking.