Is it a bug?

Nope.  It's a dreadlock that Teagan created in and then pull out of her hair.  I can't say she looks exactly upset when this happens.  Nor satisfied with herself.  She just comes running over to us and says "I pulled my hair.  Out of my hair!"  And we say "Yes, yes you did."  And say a silent prayer that she'll outgrow this before we start noticing bald spots.