It is important note that a hair follicle needs a sebaceous gland to exist. The problem of male pattern baldness can be in the pilosebaceous unit , not only in the hair follicle.
Phylogeny of the Hair Follicle: The Sebogenic Hypothesis
Journal of Investigative Dermatology (2008) 128, 1576–1578; doi:10.1038/sj.jid.5701200; published online 13 December 2007
http://www.nature.com/jid/journal/v128/ ... 1200a.html
In summary, the sebogenic hypothesis states that under the drying conditions of the new land environment, the earliest tetrapods required a lipid cover to enhance the poorly developed epidermal permeability barrier. The lipids making up that cover arose in part from a primitive sebaceous gland. The most efficient gland was large, deep, and had a wick that enhanced lipid spread over the epidermal surface. That wick, the original shaft, arose in the context of a sebaceous gland. Those animals with a strong and prominent sebaceous gland wick would more efficiently transfer lipids from a large, deep, oil gland to the surface and thus more efficiently prevent water loss from its surface. With time animals were selected for more adaptive advantages bestowed by the wick, now the hair shaft, which offered protection from trauma, heat loss, and radiation.