Do all animals shed

They can, if you keep them when they get older. It is not uncommon for a pig to lose it's hair, and it it more common when they have access to mud. They get they itches, and will scratch until they are comfortable, and this often results in the loss of hair. Some pigs will grow it back, while others will stay hairless for life. It your pigs hair is just falling out though, that is a sign of something bigger and should be addressed by a vet.