Some cats are sensitive to drops like Advantage, Frontline, and Revolution - and will lose a little hair. As long as there is no redness or obvious signs that the area is badly irritated that should be ok.
I'm more concerned about the fact that you bathed your cat then put the drops on soon after. If I recall correctly, it says to wait 3-4 days after bathing to apply and after application to wait another 3-4 days before bathing. This is because your cat has natural oils on her skin and fur to help protect it (and keep the coat in good order).
I'm not sure what the side effect of not following those directions are - maybe too much can be adsorbed to quickly or maybe skin irritation.
The other point is that flea shampoos contain a pesticide, most of us prefer not to use them at all for this reason. Add the Advantage (a insecticide) soon after and that's a lot of potentially toxic chemicals in your kitty's body - chemicals that in smaller doses wouldn't cause serious side effects.
Do not use any more Advantage or flea shampoo on her for another month. If you must bath her again soon use a plain cat safe shampoo, regular old blue Dawn dish soap, or a cat safe shampoo from the vet to help sooth her skin.
To check if she still has fleas, get a flea comb from walmart and comb her.
As for why she is still itching - a better way to describe it is how you itch for a few days (or more) after being bitten by a mosquito. Just because the insect is gone doesn't mean the offending bites are. She has to heal or could even use vet care to help with that.
Please do call around and see if you can get her in to see the vet. They can help with the itching and make sure she's all right.