I think this is why I always recommend that newbies get this done before they've fully lost the hairloss battle. I went fairly under the radar with mine, but people did notice that SOMETHING was up. One guy asked if I had 'plugs' in front of a whole load of my friends, which I just about styled out. But people are strange. On that day, clearly everyone was asking a lot of questions internally. But I think that people assume if you're wearing a 'wig' it means that you are fully bald, and if you've never been fully bald in their eyes, then they simply can't compute that you'd be wearing a wig. After a while, folks just take it as it is. I've been complimented on my locks, and even my poor mum (who I WAS going to tell, but turns out I just don't need to) still tells me how lucky I am that I inherited her hair and not my dad's!
Bottom line: folks get used to it. It's a matter of time.