Because the coloured wool on the toes is guaranteed to match and he can't rag on anybody for that...?
Seriously, though, I only ever had one encounter with him, and it was positive. Then-Lieutenant-Colonel Cox had just arrived in Petawawa as the Base Commander in 1992 and I was about to leave for Downsview on my next posting. I was acting as an Assisting Officer for a female Corporal, the victim of unbelievably disgusting harassment, including death threats, and I had to brief him on some delicate circumstances and recommend the only just course of action. I don't recall hearing any stories about him before that, but I was advised that if I did not get him going in the right direction immediately, the cause would be irrevocably lost. He certainly did the right thing that time.
I still enjoy the tales, though.