I always thought it was the mask, like Masquerade's mask, but apparently it's a regular mask, so he either dyed his hair blonde to help disguise himself, or Lux's idea.
His Helios burned it all off. His roots all got 3rd degree burned and hurt so much that when he lays down to go to bed, it huts so much that he got them all removed. The only way to make him look badass was to give him a badass wig.
You guys act like you saw it all along. The show only shoved it in your face. Thats all Mira talks about, and they had flashbacks and everything. Personally, this series is going by too fast.