The polyurethane used in Ultra HD or Micro HD hair systems is a non-toxic material. There aren't any toxic additives.
The polyurethane used for hair prostheses is exactly the same as the one used in the medical field (like for making bandages, etc...). So it's totally safe for your skin.
Just a reminder, polyurethane doesn't come into direct contact with the skin, because the whole area that's covered by the hair system has to be glued down completely. If you don't want to glue the entire area, you can go for a lace (micro-perforated) base instead.