Evil characters often get written with unattractive physical traits. Extremely short statue, crooked nose, obesity, outright deformities etc. That includes baldness, but is by no means limited to it.
Ofc shaved in caucasians also seems to be conflated with Neonazism. Sometimes out of stupidity and ignorance, sometimes out of nefarious reasons in order to justify ones own negative but superficial feelings against this unattractive look.
And the third and last aspect is that sometimes a shaved head is used to characterize an evil role as hyper masculine and militarized. Shaved heads are a pragmatic choice for military campaigns and fighting in general. Antagonists in movies like Reign of Fire, Planet of the Apes and Elysium got a shaved head to highlight their martial and brutal nature I am sure.