Well, Vlad, I went out and pulled out the pile of Bennett stuff I have.
There are two pictures of her and her sisters when they were children in her autobiography. In the earlier one, they are all blondes (but then little kids sometimes start out with lighter hair). In the next, which features her running hand and hand with Barbara and Constance, their hair is clearly darker.
I'm sure Gothick is right. She probably lightened it in the 30s. Most actresses did.
Later on in the book, Bennett writes: "Tay [Garnett, the director] who had just viewed Walter's [Wanger] film Algiers, with Hedy Lamarr and Charles Boyer, insisted that Hedy was a brunette edition of me, and he and Walter thougth it would be a great joke if they put me in a dark wig for Trade Winds," (p 262 The Bennett Playbill).
"For ten years, with the exception of Little Women and Private Worlds, I'd played the insipid blonde ingenue, short on brains, long on bank accounts, the victim in a love triangle, and for some reason that now escapes me, I was often English . . . [After she went brunette], Personally, I liked the idea of escaping from all that bland, blonde innocence and thought the whole thing was very funny, but I don't think Hedy found the comparisons very amusing. " (same page)
She also thought it had something to do with being tested for GWTW.