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I genuinely think Taker is just self conscious about his hair when in the ring. Had long locks for years, eventually started receding. Tried to save it with the experimental mohawk strip thing he did as a part of his character or something. Didn't work. Tried wigs. Didn't work. Eventually reverted to his old school bandana. Lets him be bald, but means he doesn't have to show it. Outside of the ring, you'll find him sometimes without the bandana/hat combo, but inside? He wears the full thing or his beanies.
So now he's where he's at. He's aged. The hair is gone. The aura he had in the ring has dwindled over time. Now imagine every time he came to the ring since retiring, his balding ass head was on full display each time?
So no, I don't think he thinks he looks cool. I think he's just trying to save whatever little of his presence in ring he has left.