I created a custom empire in the workshop and I set the hair to the darkest grey (black loses to much detail) to make dark near black hair, when I made my hero the hair showed correctly in the customization window, however when I loaded a map with my custom empire/soverign the following units all have bright white hair. My custom empire was Mancer, so I decided to check out what would happen if I made a Human empire with bright blue hair, and their units ended up with different hair (light & dark brown).
It seems the choice for hair color that you give your empire is not working on any default units, they all retain the hair color of their chosen race instead. I would expect that if I change the hair color in the empire screen in the workshop that its setting the default for everyone across the board. I really don't want to have to remake every unit just because of this, especially since I cannot create a replacement pioneer unit.
If I remember correctly this also happened on FE as well