I used to have Y3 AJ MOC, and I remember her hair wasn't really curled properly, just folded in half in the package. I no longer have her, but it doesn't seem like they went to much effort to curl her xD.
I wonder if it's also to do with how well the pony's hair is taken care of as well.
The UK CJ tends not to have problems but can have dry hair, rather than frizz. I have also found the y3 CJ here with curls that are fine. And then there's my puddleswimmer, about whom the least said the better...
Her hair now looks like she escaped from a 60s hippy rally, but when I was a kid it was mostly sticking up in the air in two directions like rabbit ears...