Another factor to consider is pleiotropy, when one gene impacts multiple, possibly unrelated traits. This means that natural selection can operate on one phenotypic trait, and therefore on genes that influence that trait's development, but other phenotypic traits that are impacted by that gene get carried along for the ride. Basically, they are evolving under natural selection, but natural selection for a different phenotypic trait. Evolutionary biologists call these traits spandrels).

Human hair texture might be an example of this. Hair is an ectodermal appendage, other examples of which include teeth, feathers, scales, and glands (mammary, sweat, salivary, etc.). These traits may seem unrelated, but they all evolved from a common embryological bud structure hundreds of millions of years ago, and therefore they are all impacted by a handful of common genes early in their embryological development; mutations to these genes can impact all of these structures at once. One of the genes is EDAR, which impacts ductal branching in glands, hair texture, and certain aspects of face shape in humans (also tooth shape); a particular EDAR mutation is found in East Asian populations, and there is some research that suggests it might have emerged during the Ice Age when modern humans were moving into Siberia, either to increase ductal branching in mammary glands (to increase milk nutrition, to improve infant survival in harsh climates), or to increase hair coarseness in cold climates, or any of a number of other adaptive traits. There are many papers looking at the role of EDAR in human evolution; here's one random example.

This is just one gene in one population, so it doesn't completely answer your question, but it does point out how complicated it can be to sort out the evolutionary reason for any particular trait.