That is it, that is the hair.
Exactly as it is supposed to be.
Frankly I am surprised with all the the hype over the character creator, Not only does the hair look awful most of the styles are not that appealing (I know that one is a personal thing) there were a lot less customisation options than I expected and the whole wow factor of being able to customise your junk just not never see it out side of the creator baffles me. I am 35 hours into the game, done many side quests and random stuff, got to the main story quest Nocturne OP55N1 which feels pretty far into the story, and seen many tits but nothing else.
Small rant I know, but still that is just how the hair looks in this game no matter what.