When in multiplayer, this was happening to my female elf character and to Lohse. It also happened to my friend's male lizard by removing his frills. Our other constant companion Sebille doesn't have a helmet yet, but I'm guessing it would happen to her as well. For us, though, we found that at least for my female elf and Lohse (we didn't test my friend's lizard) the hair could be returned by making the helmet visible and then making it invisible again, but the hair disappeared again whenever that character changed ANY equipment (not just the helmet) or when we reloaded a save or changed zones. Barring that temporary workaround, though, we were just all permanently bald as long as we were wearing helmets. Really odd.