AFAIK we're not necessarily talking about an evolutionary response to baldness here..
If you read Kahneman's book he says there are two systems of thinking, System I and System II. System I is based on heuristics, rules of thumb, that allow us to draw conclusions with a minimal amount of effort. Since modern society is extremely fast-paced and requires us to deal with a ton of information on a daily basis, we frequently switch to System I out of habit to minimize our mental load. A lot of times this works okay enough so we stick to it. However, it also makes us very prone to biases and false judgments.
So basically, if you are rocking your thinning hair and seem a bit insecure, the girl you are trying to pick up will very likely put two and two together, and quickly put you in the "desperate" bin because the image of balding men in popular culture are frequently associated with that. Over a series of rejections you also get a negative feedback loop going since you are actually becoming more and more insecure due to the rejections and thus seeming ever more desperate.
For the girl's part, hopefully she is making a false judgment and missing out on a good time by rejecting you out of hand, but it really doesn't matter since the consequences of doing so are usually trivial. If she is the kind of babe this forum pines over, she can have an equally good time (or better) by going for someone else. So in this instance, System I works very well for her.
Responses like these are of course rationalized post-hoc with the usual suspects, but as this forum very well knows those explanations are largely socially conditioned and can thus be freely disregarded for the purpose of answering questions like, "why can't I get laid" or "why don't I have any friends".
I find knowing this takes a lot of the edge off the despair and lets me be more constructive about my life.