That's a new one on me too even though I'm in the US. Of course it may have something to do with the fact that I have no clue what most women's hairstyles are called and have been going only to barbers* almost my entire life. The other definitions of "shag" I'm familiar with so far.
* = "Barbers" as in "old guy who runs his own shop and doesn't ask you what 'style' you want, you sit in the chair and get a haircut".