Which detail is the first sign that something might be off about the new visitor?

The first detail would be the stranger's coverings..... he is completely covered or bandaged, even after removing his coat.

He held a white cloth—it was a serviette he had brought with him—over the lower part of his face, so that his mouth and jaws were completely hidden, and that was the reason of his muffled voice. But it was not that which startled Mrs. Hall. It was the fact that all his forehead above his blue glasses was covered by a white bandage, and that another covered his ears, leaving not a scrap of his face exposed excepting only his pink, peaked nose. It was bright, pink, and shiny just as it had been at first. He wore a dark-brown velvet jacket with a high, black, linen-lined collar turned up about his neck. The thick black hair, escaping as it could below and between the cross bandages, projected in curious tails and horns, giving him the strangest appearance conceivable. This muffled and bandaged head was so unlike what she had anticipated, that for a moment she was rigid.