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I brushed it off and found my finger full of tiny black bristles, about 2 mm long.
Very painful, like shards of fibreglass.
I managed to scrape and wash them off, and a few hours later no ill effects, so they're not poisonous.
No idea what this damn thing is, never heard of a cocoon with such a defence. Mostly they seem to be like bark.
This looks like a hairy brown seedpod.