Perhaps one should ask whether hair-pieces cause baldness.
As I've only heard of bald people wearing them!!!!!!!!
What about "combovers"? Obviously a causative factor!!!!!!!!!!
Some hair falls out normally. A little tension (without yanking) probably wouldn't hurt as the healthy hair will stay put. And, with many things in the body, a little stress actually makes it stronger (shafts are dead, but follicles aren't).
It is a good point that a genetic predisposition to loose hair is not affected by hats, hairpieces, or combing.