The irritation or burning sensation you describe is most likely an immune reaction. The following is my personal opinion:
Studies (Cotsarelis) indicate that balding scalp has fewer blood vessels. Lack of platelet growth factors due to a diminished blood supply send hair into telogen. Prostaglandin D2 may play a role in the natural telogen phase. Prostaglandin D2 inhibits hair growth and is elevated in the bald scalp of men with androgenetic alopecia. I believe that hair follicles spending extended time in telogen, saturated in pgd2, while lacking a good blood supply, become damaged. One theory states that follicles that are damaged to a greater degree are no longer recognized as part of the body and are susceptible to being destroyed by the body's immune system.
The following photo is of a patient who had a hairline lowering procedure where in his case a rather wide strip of forhead was removed. By cutting these blood vessels the diminished blood supply caused his hair to shed and go into the resting phase. Our patient mentioned a troubling burning, itching sensation. I don't think he inherited hair loss, he just had a naturally high forehead and wanted it lowered. Exercise triggers angiogenesis, that's an undisputed fact. Resistance scalp exercises can effectively promote angiogenesis and increased blood supply to hair follicles. With your head tipped down, move your scalp muscles and resist that movement with the palms of both hands. I have been doing scalp resistance exercises for around three years and my hair has improved by around 30%. I use minoxidil foam but avoid finasteride and dutasteride. I barely lose any hairs per day. If your scalp is itchy or burning, you may want to get a prescription for a medium-strength steroid. Triamcinolone acetonide has a listed side effect of excessive hair growth and is successfully used in the treatment of immune system related alopecia. Areas lacking good blood supply can attract fungal infections, so use a quality shampoo that fights fungal infections.
Effects of exercise on blood vessels:
Successful Outcome with Microneedling and Triamcinolone Acetonide
Patient with lowered hairline followed by shedding (Not performed by Dr. Cole) pictured above. Notice the scarring along his hairline.
Posted by Chuck at Dr. Cole's office