Individual's hair did not change because of the climate. Genetic mutation and gene selection can take thousands of years. What happened is that people with certain variations had an advantage over others in different climates, as a result they were often healthier, they were more desirable as mates and their genes were more likely to be passed on to future generations. As a result, the characteristic that creates advantages for individual humans, and human populations, become more prevalent within that group of people. That doesn't mean that certain genes are completely eradicated, or that human populations were completed isolated and did not interact with populations that had different ranges of physical charecteristics. Thats why you see Europeans with eyes like central and east Asians, curly or even kinky hair like western Asians/north Africans, etc.
There is not as much genetic adaptation today because humans have so much control over their environments, we have technology to help us and science to keep as alive. Even though you have African descendents not living in the same conditions as their ancestors their genetic info isn't going to suddenly change, that sort of change does not happen on the individual level and in populations it takes millenia.
Our ancestors really were the only ones living in those types of environments long enough to develop those types of adaptations to the environment (which is why the greatest genetic diversity exists on the continent). Europe is a baby compared to Africa.
Our species, Homo sapiens, was born 170,000 years ago. The ancestors of modern humans began leaving Africa 70-80,000 years ago. So our ancestors had a 100,000 year headstart on developing physical traits that best dealt with the varied environments of their continent.
Before slavery and colonialism traits that were common to darker Africans were just viewed as part of the differences that existed amongst humanity. Its the history of the past 500 hundred years that has left black people with a complex about their hair and complexion (and also physiques and facial features); the notions of white supremacy that undergird the creation of this country have led to the denigration of everything African, especially the unique features (our hair is very unique, almost non-existent amongst other groups of people) of the continent and the diaspora.