The link to baldness comes indirectly through increasing DHT. The increase in DHT, if I understand right, can speed up existing hair loss. Where it gets shaky is that DHT is also increased by excersize and follow-up studies accounting for that found a decrease in DHT while on creatine. So we don’t know yet, basically, and you should stop if there is a concern.

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7871530/