OK -- definitely a demosaicing error. You're seeing an artifact of the CFA generated by a failure in the demosaicing algorithm. It's your processing software. From what you've written so far here's what I assume: You have an older copy of LR/Photoshop which does not support your camera. So you're using the Adobe DNG converter to generate a DNG file and then you're processing that DNG file with the older LR/Photoshop. Your older copy of LR/Photoshop is the point of failure.
For reference: processing using Fuji Raw Converter: clouds
Your options: You can keep doing what you're doing but you need to make a change in the Adobe DNG raw converter: Open DNG converter and under item #4 click the box Change Preferences. Click the dropbox Compatibility and select Custom. In the dialog that pops up check the box Linear. You're good to go. The DNG files will be larger but they'll work.
You can demosaic the RAF files wth other software. Fuji supplies a version of SilkyPix with the camera -- I used that for the above file. There are lots of other options from free to $$$.
