If they're not done correctly and you don't wash your hair and stuff then they can but if you follow the proper care instructions then you should have no problem. If you have fine hair or blonde hair you may be more likely to sensitivities though.
If I'm not mistaken, I think the "they make you go bald!" rumor came about because whenever you take dreadlocks out of your hair, a good bit falls out in the process. But it's hair that would have fallen out naturally without you noticing had you not gotten the dreads. Then again, the dreadlocks add more weight to your hair, and you lose more hair because that weight is pulling some out. You won't go bald, but you should be prepared to lose some hair if or when you ever decide to shed the dreadlocks.