I have had to deal with this issue with a student's pony. She breeds new forest ponies and has one of the nicest geldings I have seen. At about age three, he developed serious itching issues, too. Several vets were totally unable to figure out what was causing it. Not worms, not fungus, not any external medical reasons that they could find.
It got so bad the the pony literally rubbed ALL the hair off of his tail leaving a bare dock. This pony was the gold medal winner at his sport pony inspection.
At his inspection
Even though he has won some championships, his value has definitely been impacted.
This year he went through a battery of allergy tests. He was found to be allergic to thirty substances!! Some grasses common to hay, some trees common to shavings, cotton, dust, flies, corn and others.
He is undergoing allergy shots, which for the short term has really aggravated it all. Hopefully, he will get through them and develop a tolerance. He will be on monthly shots forever, probably.
Here he is in my last clinic, with his tail. Sometimes, he has just enough hair on the dock to tie in a fake tail, though it is noticeable. During these shots, no hair left.
So, consider the allergy problem and get him tested.