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Hamsters can have allergies to lots of things but it's not common & it doesn't sound as though anything you use is likely to be causing an allergic reaction, it is possible that he may be lacking something in his diet but once you get him on to the Hazel hamster he should be getting all he needs.
Flax seeds & a drop of evening primrose oil can help with thinning hair.
You can't see mites but there is usually (but not always) quite a bit of scratching or over grooming with mites.
It's hard to guess from a description just how much of a problem it may or may not be, do you have a photo?
If you're concerned then I would get your vet to have a look.