Books,
I took a look at the uniform photo and noticed the facings were DARK blue, not the lighter blue of the infantry. DARK Blue was for staff and general officers.
I'm thinking this may have been his coat from when he was a Brig Gen of Volunteers in Cuba. I wasn't able to see if there was any rank on the coat to help confirm or contradict this theory.
Its possible that in the photo of him and Roosevelt, they are wearing the YELLOW facings of the cavalry, but they turned out dark because of the photographical techniques of the period.
Perhaps St George can enlighten us further.
US Scout
Brig Gen, GAF