I know they roach manes on Saddlebreds for showing, sometimes.
That's all I can picture "bald" meaning, unless it's the face or a bad body clip.
On an unrelated note, I body clipped my horse when we were showing through winter, and the barn owner, who breeds Paints and NEVER bodyclips, always teased us that he was bald.
This is how I imagine a bald horse. (This is from the Pixar short "For the Birds")