It is a real effect, but maybe not the caffeine, maybe the brand of coffee.
I had the same tingling the past 3 years in my scalp and losing hair. for some reason or another, it came to me that maybe it was the coffee. so I switched brands 4 months ago and the tingling in my scalp stopped. My guess is that it is some pesticide or chemical in the coffee, that has been the only change I made. I am not saying this is the truth, only my experience, so all you people who want to argue about it, please don't, I won't reply :)