I suggest you do several things. First, start at the top of this thread and read each post. You'll see that some people acknowledge eating less than a balanced diet and/or not taking the multivitamin every night at bedtime.
Somewhere in the middle I mentioned that there are many reasons for hair loss that can include hormone changes, thyroid problems and poor diet. So check your logs while you were on alli, and try to re-capture what you were eating while you lost the 40 pounds. Hair loss often occurs because of slow gradual changes over time so there may have been some nutrients that were lacking while you were on the other weight loss program.
Please do call the 800-number and let them know about the hair loss you're experiencing. And you can also stop the capsules for a few days and see what happens; then resume taking them and see what happens then. But I do recommend you call the 800-number in any event.
I hope this helps.
Pat Baird, MA, RD, registered dietitian