Contrary to popular believe; scalping began with European settlers who scalped Native Americans to claim bounties. The Natives adopted scalping in response.
In the show, this is the special weapon of the Comanche warrior. Because the Comanche were horsemen, they didn't develop knife fighting skills similar to Apache knife fighting and so the Scalping Knife was more used for Scalping than actual combat.
It was also the Comanche's weapon with the lowest kills. (3)