Bears were native to Britain and only became extinct there some time between 500-1000 AD. Beyond that, no doubt the Romans baited them for sport (as they did with a range of animals) in Romano-British towns - and Welsh is the most widely spoken surviving form of the language of those Romanised Ancient Britons. Even after bears became extinct, tales referring to them - be they Biblical (Christianity took root in Wales before the Roman withdrawal from Britain) or from native or extraneous sources (like Aesop's Fables; The Bear & Two Travellers), or the idea of them as an heraldic emblem would have lived on.
It looks like it's quite similar in other languages: arth in Old Breton, art in Medieval Irish, artos in Celtic. The English "bear" is of Germanic origin, which doesn't surprise me. Etymology fascinates me. Hope you're enjoying the course.
Kangaroo, so you know, is cangarŵ in Cymraeg :)
"Arth" comes from Proto-Brythonic *arθ (Breton "arzh"), from Proto-Celtic *artos, from Proto-Indo-European *h₂ŕ̥tḱos (related with words for destruction), of which also come Latin "ursus" (Romance "oso/orso/ours/urs"), Ancient Greek ἄρκτος (árktos [whence English "Arctic"]), Armenian արջ (arǰ), Persian خرس (xers), Sanskrit ऋक्ष (ṛ́kṣa [Hindustani रीछ/ ریچھ (rīch)]) and Hittite "ḫartakkaš", all meaning "bear".
And yes, I'm enjoying the course so much! =)