In "The Gift of the Magi," why is Jim particularly sorry that Della has cut her hair?

The answer to your question can be found at the end of the
story. Having sold her hair so that she could buy Jim the present for Christmas that she
wanted, Della is shocked to receive Jim's gift for her: a set of haircombs. The irony of
this situation is not lost on herself, Jim, and us as the
reader:

For
there lay The Combs--the set of combs, side and back, that Della had worshiped for long
in a Broadway window. Beautiful combs, pure tortoise shelll, with jeweled rims--just the
shade to wear in the beautiful vanished hair. they were expensive combs, she knew, and
her heart had simply craved an dyearned over them without the least hope of possession.
And now, they were hers, but the tresses that should have adorned the coveted adornments
were gone.

Thus it is that
Jim is particularly sorry that Della has cut her hair because now she will not be able
to enjoy the present that he has sacrificed so much to buy for
her.