Corticosteroids are actually used for male pattern baldness as well. They were used more often in the pre Finasteride and Minoxidil days but they were still used and have some efficacy. An immune system role obviously plays a part which is why PGD2 inhibitors and JAK inhibitors are being looked at. Corticosteroids would do similar things but are more broad spectrum so are most likely not as efficacious and carry more side effects.
The current understanding is:
X unknown factor (perhaps many) leads to hormonal dysregulation in the follicle/scalp leading to immune dysregulation which leads to shorter lives for the hair and eventually smaller output and baldness.
Currently treatments target the hormonal issues but are imperfect because they affect many tissues in the body, such as Finasteride. Also we have things that help regulate and promote growth to overpower the negative growth inhibition that most men have in the scalp, such as Minoxidil and PRP. Immune system modulators would help inhibit those negative growth inhibitors WITHOUT affecting hormones.