Evolution is not only about developing things which help you, but more about eleminating things that stop you. In your example: Yes, we don't need them. This is a very recent development given our long live expectation and slow reproduction cycle. It doesn't lower your chances to reproduce to have ist and shave it if your reproduction partner disapproves compared to someone born without it. And on the other hand, it isn't that much effort for your body to grow the hair, so lack of it wouldn't allow you to transfer that much of energy and ressources anywhere else.

To give you a different example: A common question in this sub are wisdom teeth - they are painful and a big hassle to many, but they don't stop you from reproducing, so there was never a need to stop it.

Many other species have remnants of their evolutionary history as well which just don't stop them anymore.