Maybe if we spent more time outdoors in cold climates without clothes?
We certainly have enough hair follicles.
Some humans have a lot of "fur".
It all started with those stupid "fig leafs".

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The truth is easily vanquished but a well told lie is immortal (Mark Twain)

Yea! So which came first: protective clothing or shame about being naked?

Maybe a study should be conducted to determine if nudist are growing fur. The thing is: they'd probably just be selected for who's immune to skin cancer... which means it would select for people with more melanin in their skin?

I'm still not seeing what conditions select for no fur. I'm pondering that it had to do with sweating. I'm trying not to be Lamarkian here.

Sweating is dangerous in cold climates, though. Which brings up the issue of when furless homo sapiens came on the scene: maybe it happened during an interglacial. Then going into a glacial period, some people started wearing furs. People who couldn't get with the clothes thing died off and thus: shame at nakedness is a remnant of a climate change. Yea, I'm in over my head.

Maybe it came into being along with some other change that was beneficial for survival, and we just overcame the hairlessness issue with dirt, skins, and eventually spandex... the clothes of superheroes.