Sebum doesn't cause hair loss. It's not an effect either. There's a guy on here who says it does, I forget his name maybe it's Armando. But it's a bunk theory.
Yes, sebum can contain androgens but it is such a minute amount and it's unknown how much the scalp reabsorbs. So long as you are washing your hair you shouldn't experience any increased problems.
Sebum can be a result of androgenic signaling, so although it can be related to hair loss it's not actually directly related. It can be just a separate symptom of androgenic signaling. However, this is not always the case. The hormones can only pull the trigger if the genes are present. For example, someone can take a boat load of steroids and experience zero hair loss. The same individual may also have dry skin. At the same time, a man can be balding but have dry skin. Another can have a full head of hair and yet have skin full of sebum. It's dependent on the combination of hormones and genes. Just because you have hair loss doesn't mean you will necessarily have oily skin, and vice versa.
Armando is a fool, trying to be a revolutionary re-inventor of the wheel like Stockton Rush. The proof is not in the pudding. If sebum caused hair loss, then accutane and other drugs that stop sebum production would cure hair loss, but it's interesting that accutane can actually in fact cause hair loss. It's a baseless theory. Yes, sebum is a sign of androgenic signaling, though. Yet, everyone's threshold is different.