I don't have that character but it might be done that way one purpose because they probably figured the character would be wearing hair. 

I'm not real familiar yet with how SSS is done so I can't give any or other suggestions except possibly contacting the vendor.

Out of curiosity, what type of lights are  you using? Is the figure's back side facing the front of the camera? Is the main portions of your lights hitting the back of the figure?

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