Str8 up, men don't share everything about themselves until they absolutely have to. In general, men operate on a "need to know" basis.You really don't know what you got until you've already married him.
He complimented you, you accepted the compliment. If he had directly asked you, "Is that all your hair?"...then that's a different story.
If you wouldn't offer him the information that you are wearing false eyelashes, Spanx or a heavily padded push up bra (all for example's sake) then why share about a weave/wig. In the future, if you end up wearing your natural hair or changing to another weave or wig and he comments on the difference style, just say something like "Yeah, I like to switch things up". A lady is entitled to her beauty secrets. It's part of the mystery and allure of being a woman.
As long as you are looking good, smelling good and good company, everything is kool.
That's just my 2 cents.