Every actress in Wicked wears a wig. As does every actress in Phantom, Anastasia, Aladdin, Beautiful, Carousel, Hello Dolly, Summer, etc.
Think of it this way. If Nessarose used her natural hair, she would have to spend a significant portion of her break from her exit in Act 1 to her reappearance in Act 2 getting her hair into an updo. With Glinda it's impossible because she needs to change from her curly bubble dress hairstyle to her schoolgirl hairstyle in less than a minute.