Since Dothraki pride their voracity and skill in battle via their hair:
Dothraki warriors wear their hair in a long braid and only cut it when defeated, so the world may see their shame. Very capable warriors therefore often have a very long braid.
If a Khal was to go bald, what would happen to his status as a Khal?
Canon answer to this are preferred but even out of universe answers would be welcome.