Not quite. The link I posted suggests that loss of hair reduced the prevalence of disease-carrying skin parasites. This in itself would be an advantage, but obviously not if loss of hair meant one died of - or was weakened by - cold. However if the species has the brains and dexterity to make clothes, that disadvantage would become neutralised, leaving a net gain from less hair. So it could be a bit like sickle cell anaemia: a change that on its own would be detrimental, but given the particular circumstances of the species, turns into an advantage.
Though I see two people are advocating long distance running ability as the reason.