Why does Varys dress differently than other Westeros men of his class? He’s been in Westeros for decades, shouldn’t he have assimilated yet?

Because he isn’t a “Westeros men of his class.” Varys is known to be a foreigner, and to be a eunuch, and not highborn either (only a lord by courtesy), so trying to assimilate would only bring about the sneering disdain of nobility for parvenus. 

Moreover, as we see from his disguises, Varys’ very unassimilated appearance is actually quite useful to him. People are so used to seeing the elaborately dressed and perfumed court eunuch, simpering in falsetto, that when he puts on boiled leather and speaks in a rough voice, no one would think it’s him.