yes, I agree the problem is related with light. To be precise, colored light.
I've tried already to change all the lights, but the result is the same, so there is no relation with the shape, but only color.
I have another light just illuminating a different object in my scene, far away from my dog and with Include option on, just to illuminate that specific object. But even in that case that light is affecting the hair and makes the colorization more visible.
I'm proceeding with my project without colors in my illumination just to avoid problems. I'll try to put some warm temperature in post because it's the only way to attenuate the problem. Once the hair receive any ray other than white, we start to see a weird result.
So, I'm using white lights (the same settings as the sample I shared earlier) but I still can see a wrong colorization in the shadows (attached image). Probably it's related to non-white rays from bounces.
I'll try to make another test and making the problem more evident.
Thanks