I like the version in "Little Big Man" where LBM is hearing the story from his Indian family known in the book "Black Elk Speaks" as 'The Rubbing Out of Longhair".

Little Big Man remarks that since they didn't scalp Custer he must have had some respect among the Sioux.

The answer is that Custer was going bald and thus his scalp was inferior.

Though the source is fictional I find it believable.