Kain was able to use Fury from the outset of Blood Omen 2 and he was 'taught' about the use of the Dark Gift during Umah's tutorial in Chapter 1: the Slums[Blood Omen 2]. Fury was a basic combat Dark Gift, that required Kain's Rage bar to be filled to a certain level (about half filled) by blocking enemy attacks. When Rage reached the appropriate level, Kain (and his weapon, if armed) would glow red allowing Kain to utilise a single unblockable attack. Though still accessible later in the game, Fury was effectively superseded by the more powerful combat Dark Gift Berserk[Blood Omen 2].
Fury is not commented upon in an manner in game and it is given no verbal introduction by Umah in her tutorial, with only an on-screen prompt introducing the attack when Umah takes Kain to practice his combat skills on a gang of criminals[Blood Omen 2]. When Umah later introduces Dark Gifts to Kain, she implies Mist is the only Dark Gift possessed by Kain.
Fury is effectively Kain's equivalent to the Unblockable Red Power Moves used by several enemy characters and accordingly the red glow seen when Kain activated Fury is also seen in a many enemies as they execute unblockable attacks. Fury's status as a vampiric 'Dark Gift' means the enemies utilising similar appearing 'red' attacks (including humans and the Sarafan Lord himself) cannot be using the same attack[Blood Omen 2].
The fact that Kain begins the game with this attack is odd, because that implies he gained it previous to his defeat by The Sarafan Lord and he is never seen to gain it at any stage inBlood Omen: Legacy of Kain (or even a similar attack.) He must presumably have gained it between games; after the end of Blood Omen, but before Blood Omen 2.
In real terms, the reason for the unexplained addition of 'Fury', is that it was not originally intended to be present and was only added fairly late in the development process, presumably when the stealth aspects of the game were dropped in favour of combat.
↑ 1.01.1"Fury (Kain has this ability at the start of the game)Unleashes a single devastating blow." Prima Games. Prima's Official Strategy Guide to Blood Omen 2(2002).Page 2.ISBN:0-7615-3774-0
↑ 2.02.12.2"Hold L2 and Select Fury; Press O to strike when the Rage Bar is active" - "Kain will glow red when your rage bar is full (as it is now) to let you know that Fury can be used. You've only got one shot, so use it well. With the auto target button held, press the Dark Gift button for a Fury attack" Prima Games. Prima's Official Strategy Guide to Blood Omen 2(2002).Page 11.ISBN:0-7615-3774-0
↑Fury:"This allows Kain to perform a stronger and more powerful attack using claws or weapons. Once Fury has been selected from the Dark Gift menu, block enemy attacks until Kain begins to glow. Then, while still in autoface mode, press the O button to perfom the Fury attack. " Crystal Dynamics. Blood Omen 2 manual. pg15 (Eidos Interactive). (2002) Download.
↑Umah:"Much of your former power, Kain, has been weakened during your long hibernation. But you yet retain a single Dark Gift. The Mist you see here can be used to your advantage. You have the ability to assume a Mist Form, and become nearly invisible. You can move silently to bring down your prey from behind. At times when you are outnumbered, look for mist from which to kill your enemies silently. If you are pursued, you can hide in Mist to escape. Now, use this Gift to kill those before you in the cemetery. I will let you continue when the deed is done." Crystal Dynamics. Blood Omen 2 (Eidos Interactive). (2002) Transcript.