1) A "bald-faced liar" is someone who tells a lie without attempting to hide it. It is not surprising that it would be easily confused with "bold" because a lying without attempting to hide it implies some boldness.
"bold-faced" is not improper either, it just means that it was said with a bold face...whereas "bald-faced" does not necessarily imply a specific expression.
In this context, "bald" is being used to mean
undisguised here. Bald-faced means that their facial expression is undisguised.
Dictionary.com on "bald":
Quote:4. open; undisguised: a bald lie.
2) It should be one hyphenated word
3) bald-face lie is incorrect
4) You could use "bald-faced" in reference to anything action to imply that the action was done without disguising facial expression. For example, a "a bald-faced look" or a "a bald-faced hug" although, it doesn't always sound familiar