I know a few users recently gained experience with bacterial and fungal skin infections, so I'm hoping they'll jump in with their experiences.
Expect to have a skin scraping done -- I don't know what that involves, except no sedation and it's less invasive than a biopsy.
I've read in the archives about some theories that hedgehogs can go through seasonal quill-loss -- I've noticed mine shedding, but that's it. The theories are, like most things hedgehog-related, anecdotal. Everything could be totally fine, but you've noticed a significant enough set of behavioural changes paired with physical changes that I think a vet-visit to rule out other options is totally worth it. Good luck!