I had a girl cancel a date when she learned I was balding (she explicitly told a friend this) so there’s a reason men feel bad about it.
That said, shaving your head and getting on with your life is the right approach and has a lot of other benefits anyway.
Elon did something different, but for most people going bald, shaving your head is the right move. It can just be hard to know when and most people wait too long (plus it’s hard to deal with the social stuff around a dramatic change like that).