Regarding the immodesty aspect of todays natural wigs: In Teshuvos V’hanhagos on Sheitels Rabbi Shterbuch gives guidelines for chossonim – that they should educate their kallahs about the proper head-covering. He says that a kallah who chooses to wear the natural nice shaitels, IT’S BETTER THAT SHE DOES NOT COVER ALTOGETHER!
As stated in The Unique Princess by Rabbi Yirmiyohu and Tehilla Abramov, “The halachic opinions that permit the wearing of wigs were talking about wigs that were short, unnatural looking, and “wiggy”. Such wigs were in use a century ago, explains Maran HaGaon Rav Yosef Sholom Elyashiv, shlita. They were short and stiff, and the hairs did not move from their place.” (page 103)
Further on it says, “Rav Elyashiv also clearly stated that in his opinion it is preferable for a woman to cover her hair with a kerchief rather than a wig. He constantly expressed his concern about the use of wigs that are not modest- a practice which, he says, has made inroads even into the families of pious men and roshei Yeshivah. Maran Rav Shlomo Zalman Auerbach, zt”l, expressed the same concern. As he once put it to Rav Dan Segal, shlita: “They cover their hair, and then make every effort to make it look uncovered. Therefore, in my opinion this is a loathsome thing. But who can we talk to?” He also said that, when Mashiach comes, the first thing he’ll do is abolish the use of wigs (as quoted by his son-in-law, shlita). Many halachic authorities and Torah scholars in our time agree with this approach.” (page 105)
In a letter written by Rav Moshe Mordechai Karp it says, “Many times, we heard from Rav Elyashiv zt”l, how pained he was by this great breach (immodest wigs), and how much he encouraged Jewish women to go with a mitpachat, which he considered “Glatt”, because even the old wigs, were a matter of controversy among the poskim…”