Hi little Jo,
I don't think it is all the new Roman hair just the odd part now and then.
One of my barbarian's that came with the chainmail type hair kept popping the helmet off, I tried the helmet on another figure and it was ok so the helmet wasn't the problem. I have lots of other figures with that type of hair and they are all ok, it's just this one piece don't no why, the helmet goes on Ok at first then after a short period of time the helmet just pops off and bounces along the shelf.
I have sort of cured this problem by not pushing the helmet all the way down onto the hair, more like just resting it on the figures head.