Looks normal in the pic. To assess the health of a euphorbia, use a tweezers to extract a single spine. Press the tip of the spine against your tongue. If the spine is springy and flexes gently against the tongue, the plant is getting the proper amount of water.
Can it just be growing? Like under the fuzziness it's green. If you look at pictures (patterns of the leaves, etc,) of the full grown versions, it looks like there is typically a shape (inverted triangle) between each upright triangle shaped spiny leaf. Basically shown in yours under the fuzziness.
I'd just keep taking care of it. if it starts to brown or rot, etc. then move on.
By the way, I've never even heard of this plant until before this post. It's pretty awesome looking.