The answer is Zanax. It is the only explanation. Both Caillou's parents must be stoned out of their mind on Zanax all of the time. Otherwise, how can you explain how they remain so even keeled amongst all of that whining. Due to the massive amounts of Zanax while pregnant, Caillou lost his hair. Or he got a hold of the bottle during one very special episode (I hope you said that in the tone of a "Blossom" special episode, that was what I was thinking).
Don't you feel better knowing why Caillou is bald. I know I do!