Revealing mistake: In the extended version of the film during the buffalo hunt, there is a shot of a buffalo making a turn and in the distant horizon, you can briefly see a modern radio tower on top of a hill.
Revealing mistake: During the buffalo hunt, where the buffalo turns to charge the fallen Indian, the buffalo has a nose ring used for leading domestic animals.
Revealing mistake: In the scene where Dunbar comes to the Indian camp with the wounded woman he found, she is supposedly knocked out. However, when the Indian warrior grabs her wrist and pulls her to the tribe, she is also hanging strongly, with her hand around his wrist.
Revealing mistake: At the end of the movie, just before Dunbar arrives at the winter camp in the mountains, after being rescued by Wind in his Hair and his men, an old Indian man looks up and see them coming down the mountain. The old man is wearing thermal underwear under his leather tunic.
Revealing mistake: Costner is supposed to be nude after he gets out of the water and is watching Kicking Bird wandering around in his camp; however, a close look in the lower left of the scene will show Costner is wearing skin-colored panty hose. The elastic waist band is quite visible, cropping didn't get it all out. (00:54:20)
Answer: He shaved it as he began spending more time with the Lakota. Native American tribes rarely accepted facial hair. As you can see, none of the other Lakota men have any. He also grew his hair longer as an abandonment of his military lifestyle.