There are two main reasons why Della misunderstands Jim's reaction.
First, Della expects Jim to act negatively about her decision to cut her hair. This is an important point, because our expectations exert a powerful force in our way of seeing the world. We know that Della is thinking this, because Della says to herself:
She looked at her reflection in the mirror long, carefully, and critically.
“If Jim doesn’t kill me,” she said to herself, “before he takes a second look at me, he’ll say I look like a Coney Island chorus girl. But what could I do—oh! what could I do with a dollar and eighty-seven cents?”
Second, when Jim finally comes home, he looks at her, and he gives a look that she never saw before. She is perplexed and does not know what this means. Here is what the text says:
Jim stopped inside the door, as immovable as a setter at the scent of quail. His eyes were fixed upon Della, and there was an expression in them that she could not read, and it terrified her. It was not anger, nor surprise, nor disapproval, nor horror, nor any of the sentiments that she had been prepared for. He simply stared at her fixedly with that peculiar expression on his face.
The text does not leave the reader guessing about why Jim gave an odd look. He bought combs for her hair. In light of this, Jim realized that Della could not use what he bought for her. Moreover, he knew how much Della loved her hair. In short, he saw in Della great sacrifice and love.
Here is what Jim finally says:
“Don’t make any mistake, Dell,” he said, “about me. I don’t think there’s anything in the way of a haircut or a shave or a shampoo that could make me like my girl any less. But if you’ll unwrap that package you may see why you had me going a while at first.”
The reason Della can't understand Jim's reaction to seeing her new look when he first enters their apartment is not explained by the author. O. Henry can't very well explain it because he is writing the whole story from Della's point of view. So if Della can't understand Jim's reaction, then O. Henry can't very well tell what Jim's reaction is. In order to do that, O. Henry would have to step out of Della's point of view and into Jim's point of view, at least for a few moments. Switching points of view is dangerous because it breaks the reader's identification with the original viewpoint character. This can jeopardize verisimilitude.
I think we can understand Jim's reaction if we imagine ourselves in Jim's point of view. O. Henry has described Della's beautiful long hair in considerable detail. Jim enters the apartment expecting to see a young woman with an abundance of brown hair done up in a bouffant style. Instead, he sees a stranger who hardly has any hair at all. His first reaction is that he has stepped into the wrong apartment. He doesn't recognize Della at all. He is wondering how he could have gotten into the wrong apartment. He may be thinking about apologizing and retreating. But he may also be hoping that this strange woman doesn't scream and make a scene. A lot of thoughts may be flashing through his mind. He may be wondering what his wife would think if she knew he had broken into a strange woman's apartment.
Jim may be waiting for this strange woman to react, and therefore he is not reacting himself yet. His reaction will depend on her reaction. And the strange woman, who is really his wife, is waiting for his reaction. Her reaction will depend on his reaction. The uncanny standoff between two people who know each other is caused by the fact that Della's appearance is so radically different from what it had been that morning when Jim left for work.