Are you trying to use salon hair?

In the hair salon, hit the "Back to normal, please" option. Give it a few moments, do a hard refresh, and then try changing it.

If you're talking about the old wardrobe, then it won't have a checkbox. In the new one, however, it does - so make sure that one is checked.

If you bought a wig, it will be in your wardrobe under the head layer. :)