Revealing mistake: Kelly lost all her hair as a side effect from pimple potion. You can see the lines on her forehead that show she's wearing a flesh piece covering her hair to make her look bald. The color is lighter than her face. (00:18:42)
Revealing mistake: When Kelly goes for her commercial, you can see that there is a stocking head cover to make her appear bald.
Answer: It's implied that Steve filed for divorce since in s04e16, "You Gotta Know When to Hold 'Em", Marcy says that Steve is suing for alimony. Alimony is something that has to be requested when filing for divorce. Although the show doesn't spend time on the actual legal proceedings of their divorce.
Bishop73