Yeah, and besides - every other character has got some new gear, whether it's clothing, weapons, hairstyle, or all three. Don't see why Cait Sith should be any different. It could simply be that Reeve got tired of having to store that giant stuffed to Mog. Maybe it caught fire. Maybe it was causing his friends to question his masculinity. Whatever.

Point is, there are so many possible reasons for why Reeve no longer has that thing, and it'd be pointless redundancy to have included it in the film:

*Cloud pauses in the middle of the Bahamut fight*

"Hey Cait Sith, what happened to your Mog?"

"A Dual Horn ate it."

"Oh, right."

*fight resumes*