“Why, if natural selection is nearly as powerful as you pretend, did not a naturally hirsute race, or even a new species, “evolve” as an adaptation to the harsh environment in which the ancestors of the Inuit decided, for their own reasons, to settle?”

First, you’re ignoring the anatomic variations that Inuit and other long-term cold dwellers actually do have (nose anatomy, limb/torso/pelvis proportions, BMR, etc) and focusing on something that they don’t have. I guess you prefer to see the glass as half-empty instead of half-full.

Natural selection acts upon genetic variation already existing in a population. Natural selection does not cause that variation – that’s the effect of mutation and sexual reproduction reshuffling alleles. There is no reason why a particular mutation does _not_ arise in a population, any more than there is a reason why a particular atom of a radioactive element does not decay in a given time period. The mere fact that a particular mutation may be helpful in a given environment does not induce, encourage, or favor the formation of that mutation – although if it does by chance occur, the beneficial effects may allow it to be selected for. Inuit would possibly gain an advantage from gills, or a layer of subcutaneous blubber, or the ability to synthesize vitamin C, or countercurrent heat exchange blood vessel plexuses, or X-ray vision, or telekinesis, but those mutations haven’t happened either. Just bad luck so far. If they lived there in isolation for another hundred thousand or million or hundred million years, those features might arise. But then again they might not. Your odds of winning the lottery don’t go up if you really really really need the money.

You also assume that thicker hair or more of it would ‘obviously’ have a survival advantage among cold-dwelling peoples. That may be the case, but it’s not a tautology. Regardless of the specific cause of hypertrichosis, there may be survival disadvantages as well – increased susceptibility to skin parasites or dermatologic conditions, or more time required for personal grooming, for example. When you look at the specific forms of hypertrichosis that have arisen historically, they often come with different complications depending on specific etiology – like gum hypertrophy (a cause of dental pathology) or, if due to increased androgen production, decreased fertility in females. It seems that many of the _known_ ways of causing hypertrichosis in humans have undesirable side effects. That is not to say that some novel dominant mutation might not spring up that produces a thick, healthy pelt with no associated morbidity, but we haven’t seen it yet. Meanwhile we wait for that atom of U-238 to decay while we are looking at it. Also, it’s difficult to predict how much of a survival advantage there would be to hypertrichosis among humans who already know how to co-opt the fur of other animals by making clothing. Certainly it is true that a good hat does more to keep your head warm than your hair does, and a hat can be removed when you wish to dump heat.

In human populations (and to some extent other animal populations), we also have to account for other forms of selection as well. Humans embedded in a particular culture may favor or disfavor traits in spite of their effects on health and fitness. The Hapsburg Jaw, for example, would likely have gone extinct except for the efforts of European royalty to keep their possessions undivided and their bloodlines ‘pure’ by intermarrying only amongst themselves. They were selecting for concentrated political power, and that conscious drive was strong enough to proceed in the face of the deterioration of their health and fertility.

At the other end of the spectrum are groups in which any deviation from the acceptable physical norm at birth results in infanticide (see Spartans or Romans for examples), even if those might not have been genetic abnormalities or even been germane to survival, like a so-called “witches’ mark”. So a novel phenotype has to be acceptable socially as well as being physically advantageous. Here’s an exercise for the reader: the desirability of adult male facial hair seems to be a matter of social fashion: whether men are encouraged to shave or grow heavy beards varies across cultures and over time in the same culture, even among groups where the men have relatively less or more facial hair. But are there any cultural or ethnic groups in which heavy facial hair in _women_ is considered the beauty ideal? I can’t think of any, and if you want an evopsych explanation it could be because many of the conditions that cause hirsutism in women are associated with decreased fertility.

“How and why [did humans lose most of their fur]?”

You didn’t ask when, but I’ll throw that in: probably at least 1.2 million years ago, maybe more. That’s based on genetic analysis, since hair and skin don’t fossilize well. Genetic analysis also suggests that this was followed by the development of more skin pigmentation, which would make sense as the UV protective effects of fur were lost. Failing well-preserved human skin fossils showing hair imprints, there is likely no way to nail this date down without using genetic models.

There are a number of theories as to _why_ humans have less terminal hair than other great apes. Note please that our hair follicle density is about the same as chimpanzees, etc., but humans produce more fine vellous hairs instead of dark terminal hairs. So we didn’t lose hair, we just changed the type. There is no ‘smoking gun’ piece of evidence that can definitively prove one theory over the others; they may all be partial contributors to a combined effect, and no single theory is without significant shortcomings. Roughly speaking, those who favor an adaptive effect for our relative hairlessness point to two or three effects, separately or in combination: thermoregulatory, parasitic, and sexual selection. While we have roughly the same amount of hair as other apes, we do have more sweat glands. ‘Hairlessness’ and increased ability to sweat suggest that being able to dump heat more efficiently was advantageous to our hominid ancestors – allowing them to move out of the trees into the open and/or travel for longer periods without overheating. Perhaps as brains increased in size, tighter thermoregulation became more critical. A second theory suggests that decreased terminal body hair allowed for decreased parasite load or increased ease of detecting and removing parasites – less time spent grooming allows more time for other activities, or allows groups to be larger. A third possibility is that sexual selection plays a role: consider again the finding in modern humans that while hairiness in men’s faces goes in and out of style, hairlessness in women’s faces is almost universally preferred. Why? Well, _if_ facial hair in protohumans became hormone-sensitive, as it is in modern humans (hair development is hormone-sensitive in the great apes as well, but in different patterns [eg silverback male gorillas]) then the females with the least hairy faces would be those with the lowest circulating androgens, and the greater resulting fertility. Males who prefer/mate with less-bearded females tend to have more babies who are less bearded, and the preference is passed on and becomes stronger until protohumans select themselves into more generalized hairlessness.

It’s also possible that human ‘hairlessness’ is not really an adaptive trait in and of itself at all. The embryonic ectoderm goes on to form the nervous system, tooth enamel, and epidermis. Perhaps the mutations that altered the neuroectoderm of protohumans and led to increased brain size and intelligence also affected the other end products of ectoderm development, so relative hairlessness is a byproduct of adaptive changes in brain development. If ‘hairlessness’ is strongly linked to some other adaptive trait, it could be carried along even if it was neutral or even deleterious in isolation.

Yet another possibility is that hairlessness in protohumans was a purely neutral mutation that just happened to go to penetration in the (much smaller) population by genetic drift. The smaller the breeding population, the easier this is of course. Genetic analysis also suggests that the protohuman population of 1.2 million years ago went through a bottleneck of ~14,000 individuals. Just FYI.

There is really no definitive answer to this other than to say “well, it happened”. Whatever the reasons for it’s arising, though, it seems to be pretty well entrenched in modern humans. As you point out, there aren’t any modern human populations that have as much terminal hair as gorillas or chimps, and the conditions that do result in furry modern humans typically come with significant deleterious side effects either survival-based or socially-reproductively based.