First, Ville is a man. Man become bald. Yes it's shocking
EDIT: OK Ville is a god, maybe gods keep their hair
There are a lot of pictures made this tour, also without a beanie, so search for them and see it yourself.
Second, he wears it because
-it covers his ears a bit and it helps with his earphones
-he doesn't have to do his hair in the morning
-as a fashion trend