The good cosplayers aim for accuracy, but the cosplayers that cosplay for fun, cosplay for fun. You don't HAVE to be accurate, but if you want to be noticed as a good cosplayer, shaving would be ideal, especially if it is noticeable.
If you are obsessive over accuracy, I say shave. If you are cosplaying strictly for fun and no care of accuracy, then don't. I have a male friend I know who pretty much won't cosplay anyone who he would have to shave to be. He has pretty dark hair though, so it limits him. I don't think he has ever cosplayed anyone where he shows enough skin for it to be a problem though.
Cosplay 1: Sailor Venus (Commissioner failed to make 4 month deadline)
Update: August 10th.... still nothing.
Reality: Recycled or no cosplay at all. Got to love commissioning! Thanks everyone!! Serious thanks to Dulcinea, who actually made the deadline for the accessories far in advance and of outstanding quality. Sucks they won't be used.