Make no mistake, they do know it hurts, that's the whole point.
Finally they have something to feel superior about, and you can't do sh*t about it this time.
My best friend used to make fun of me because he used to be more successful than me in certain areas.
In fact, I was every time a bit behind him: he got his master's degree first, then I got mine.
He got a job first, then I got mine. Same with our driver's license, anything really.
Every time I catch to him with something, you can see the subtle disappointment in his eyes, even though he congratulates me.
Even the people closest to you don't like when you're ahead of them.
But the only thing he can still use against me when he can't stand my success is my baldness.
All he has to say is: "You're bald!" or "Well, at least I'm not bald!"
And he wins, nothing else matters when he says that.
My point is, they're not naive, they know exactly what they're doing when they mock your baldness.