Fences attach to a full snow block as they do with other blocks, but if you create a full snow block using the layered snow, when the block is full, the fence will not attach. Not sure if the fence will attach after a block update, or if it will just stay "detatched".

(PS. Sorry for my bad english, I'm Italian )
(Look at the image for a better explanation)

Possible explanation: I think that when a "group" of snow layers becames a "full" snow block (When the block is tall as a normal snow block) the neighbor blocks are not updated, so, if the fence is not updated, it will not attach. Not sure about this, just a theory.