As a human, I don't find bald-headed women attractive. I think most human males prefer long-haired women. For Centauri males, if they really find baldness attractive, why do they have peacock hair? It seems the Centauri do not like baldness as well. So, why do they like their females bald?
JMS spoke to this in an interview. Hair length (in men) is viewed as symbolic of power and authority. Women in Centauri society largely spurn these sorts of affectations, viewing them as a bit silly.
What about that hair?
JMS: Centauri males wear their hair in this fashion, the length of which is determined by the person's status. Centauri women scorn such symbols of status and go bald except for a knot of hair from the back. (Sort of a peacock approach.)
Certainly, you could wear your hair longer than your status permits, but it's like pretending to a status you don't have, which is viewed as pathetic.