In the book "A Game of Thrones" when Daenerys walks into the fire to birth her dragons, her hair burns off along with all of her clothes. In the show her hair is untouched, and she appears to be immune to fire, whereas George R. R. Martin says her fire immunity was supposed to be a one-time thing. So we don't know how she's going to kill all those khals (if she does).
Our best guess is they kept Dany’s hair because a bald Daenerys is less attractive to viewers.