It was a reference to Shana. During one of the OVAs she gets ice cream on Yuuji's head and he thinks he will have to cut it now. She calls him stupid and 'baldy' over and over and tells him he has to shave it bald. Also happens when she plans to train on top of his head as mini-Shana and would burn his hair off. I'll edit the post if I find it.
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