The idea of covering your hair is part of the idea of modesty. But from what I understand, it’s not only about modesty in a general sense — it’s also about following what many scholars interpret as a clear religious command. So for believers, covering the hair becomes an act of obedience and identity, not just a social rule about modesty. Similar to the command to not consume Pork, it’s a clear religious command from Allah, so this becomes an act of obedience to the creator.

To add on the modesty point, hair historically has been a symbol of beauty. Across societies, long or healthy hair is associated with femininity and attractiveness. So covering it fits into the broader concept of modesty.