My current strongest idea is that all archosaurs shared the genetic machinery for making filamentous integumentar structures, and multiple groups invented them separately: theropods, heterodontosaurs, ceratopsids, pterosaurs and most likely small crurotarsans too. Or, alternatively, feathers were already present in the ancestral archosaurs and were separately lost in some groups, though I find it hard to think why.
Any way, I think baby megalosaurs were most likely fluffy and could very well look like Otto. Though I'm not an expert, of course.