Your hair is constantly falling out and re-growing. This is obvious if you have long hair.
It is normal to brush your hair to remove these hairs, and there are a lot of them.
Wearing a headband may just have an effect similar to brushing, removing a lot of the hair that is falling out, or pulling out other hairs.
If those people have less hair on their legs it is because it is falling out at a greater rate... if they stopped wearing longer socks I think it would grow out normally.
I doubt that long socks reducing leg hair by rubbing against it is true though.
Maybe hairs have a limited number of times they can fall out, in which case hairbands would accelerate the permanent loss of hair. But unless that has been proven it is unlikely to be true (I'm sure a lot of research has been done into hair loss)
It seems to require a lot of force to pull out a hair by the way, I can't see socks and headbands being very good at pulling out healthy hairs.
Do you yell in pain like you are getting a leg wax when you take off your socks?
And a simple experiment... rub your fingers across your arm/leg for a while and see how many hairs fall out... none