RT shaders don't sort properly, especially with heavily overlapping hairs like that. Either render it, or use an engine that supports proper sorting orders.
Maya really does have horrid alpha sorting problems. It seems to always sort by object, and when you combine them it sorts in the order the combination was done, last on top. Brice: thanks for the link there. :) The shader does support graduated alpha. There are still some sorting problems, mainly that the alpha areas are…