okay…

In my headcanon, at least, hair is stained by magical waste products, which is why hair colours vary wildly, don’t seem to be directly genetic, and can sometimes have gradients (See: Byakuren and Suzy). Pink would have to be both recessive and on the X Chromosome for “all pink is girls” to be true. This doesn’t just apply to MLP, there’s Touhou as mentioned above, and even Madoka Magica (Notice that the two girls Kyubey tries to form a contract with are two of the only three recurring girls with odd hair tones; Kyoko is probably part Scottish since her father appears to be a Christian)

You do realize that real people have body hair too?

@Quick Change  
Either when she was back when form Celestia’s office, saying she can’t just say what she really is, or near the end when she was crossing the portal back and admitting that wings are nothing compared to human body.

@ForegroundPony  
When did she say that?  
The short coat thing works for me.

 
Intriguing, but gross.

Well, the alternative is Homestuck troll-like rainbow blood… along with a few other options, to allow for neutrally colored EG characters like Derpy. I’ll go along with the body hair theory.

I must not have woken up yet.  
*Is their skin flocked.

Does this have something to do with the Equestria Girls dolls? Is their flocked (fuzzy)? I wouldn’t know, I haven’t seen or felt one yet.

Aw, they’re fuzzy people-pones!

Denied. Twilight said they are “fleshy”. That implies it’s the color of skin, not hair.

And I thought, this was another to-cum-inside-rainbow-dash-joke.  
Brown and blue sperm cells.

Headcanoned. This is a pretty neat explanation to their color.