There might be an interesting correlation between hair length and [some aspects of] human intelligence—but in the other direction than the one North Korea would like to imply.

Brain-Derived Neurotrophic Factor, a chemical that is produced by the brain to modulate plasticity during learning, seems to potentiate the effects of androgens on hair loss (https://www.ncbi.nlm.nih.gov/pubmed/21729031), i.e. accelerating balding in people who will eventually go bald. (This isn’t just theoretical, either—drugs which increase BDNF are reported to cause hair loss/balding in some people, presumably the ones who would eventually bald.)

So, in a very hand-wavy way, you could hypothesize that people who go bald earlier in life, are producing a lot of BDNF, and therefore are doing a lot of cognitive restructuring, and maybe therefore are getting “smarter” in some sense.