Unity can’t be ‘linked’ to Blender’s render engine.
An image rendered in Blender with cycles can be imported into Unity.
The model and the shaders, textures, etc., can be imported to Unity, and then plugged in to the relevant slots.
One thing to bear in mind, Unity is a game engine, therefore a real time renderer, similar to Eevee, whereas Blender has Cycles, a physically-based path tracer, for realistic looking renders. Real time renderers estimate the way light interacts with objects for speed of rendering.
So you will not get the same quality render in Unity.
For a character with a lot of fur in Blender, will be using the hair option in the physics settings. This cannot be exported to Unity. The hair would need to be converted to a mesh object first.
You can create a fur shader in Unity, with the how-to knowledge. Also there are lots of fur/hair shaders available in Unity’s asset store.
In conclusion:
No they would not look as good in Unity.
