Evolution doesn’t choose anything. It simply allows for mutations that are beneficial for the organism and disallows mutations that are detrimental to the organism. Fur would help, but it’s not a requirement. People that live in the tundra have more stocky than their brethren in warmer climes.
Also, evolution in humans takes DAMNED long because of our lifespan. There hasn’t been enough time from the first humans to now to have an observable change in our biology. Inuit people are virtually identical, biologically, to Kenyans, for instance, but they do look different to the naked eye.
Is that enough evidence for you?
If not, then I really don’t know WHAT you would consider evidence.