Is it even clear that this characteristic is the result of sexual selection or even developed gradually rather than rapidly as a result of a mutation? It seems unlikely to me that fur-less individuals amongst the furry would be viewed as more attractive; the trait would be more reminiscent of babies than juveniles on the verge of sexual maturity until enough fur-less juveniles had been around awhile - and they'd shown themselves to possess greater 'fitness'. Do most people think fur-less dogs look more attractive than their fully coated counterparts? Unless it's not attractiveness that the most important aspect of 'sexual selection' but the ability of (mostly) males to intimidate and dominate others in order to get the best and most females. Even so, would the earliest of them consider the fur-less to be the most attractive choice or even recognise that trait as the reason for their own success?
Maybe more importantly, did the changes to our sweat glands precede or post-date the fur-lessness; either alone may not add much advantage to heat dissipation, which may not show itself to be an obvious advantage until both are present. Advantage with respect to ecto-parasites seems likely to at least be immediate; my own hypothesis that finer, sparser hairs are more sensitive to low threshold tactile impulses would fit with this - parasites would not have the fur to hide them and individuals would have greater sensory awareness of their presence. Together this could lead to dramatic reduction of metabolic load from parasites and produce healthier individuals - who could then go on to oust the furry alpha male and get to be choosy.
I have to say that I'm beginning to think that it could have been as much pure luck as fitness or attractiveness that led to the earliest forms of this, that it began as a maladaptive trait that the cleverness of proto-humans overcame; the real advantage could have been in the way they overcame it, such as by use of built shelters, fire and clothing. Rather than a warming climate it could have been a deep cold period, that swung the advantage towards the ones who stooped to draping skins over themselves for warmth and to disguise their ugliness.
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