Within the z-buffer the engine calculates whether an object in the background is masked by another object in the foreground.
Models with an alpha-channel applied produce sorting-errors.
This is no bug in A6 btw., it is an issue of the way any graphics card works.
To solve this problem you should save the hair as a separate model and attach it to the character's head via script.
If the error still occurs you can apply a simple shader to the hair that solves those sorting-errors.

Take a look at the WIKI:

http://www.coniserver.net/wiki/index.php/How_To_Apply_Shaders
http://www.coniserver.net/wiki/index.php/ImprovedOverlay