When the hair shows up as bald it is because you are missing the mesh. You shouldn't have to build the mesh yourself, usually when there is a hair that requires a mesh there is a link to the required mesh & you just install it the same way as the hair.
Which custom hair did you download?
Also, I know whenever the game updates the hair I downloaded resets to bald as well and I have to manually go back to edit the appearance & change the hair back. A couple of the hairs I downloaded showed up as bald even though I included the mesh which I'm assuming was due to there being an issue with the file or something because the rest of the hairs worked perfectly fine.