What product are you trying to obtain when you react elemental bromine with hexane?
What other products are possible?
How does the concentration of bromine affect the proportions of the products formed?
How can you control the concentration of bromine in the reaction?
How much energy is released during the reaction?
How much will this increase the temperature of the reaction?
What will be the result on the vapor pressure of hexane and bromine, and their evaporation rate, of this increase in temperature?
All of these questions underlie the choice of solvents to be used during a reaction. In many cases, when you try to run a reaction without solvent, even if the reagents are mutually miscible, the concentrations are so high that you get very little selectivity between the reaction that you are trying to run and various side reactions leading to undesired products. You can also get runaway reactions with very rapid heat increases, outgassing of reagents and products, and explosions.
On the other hand, in some cases where you have very slow reaction rates or especially high activation energies, it can be very useful to run reactions without solvent, either as neat liquid mixtures or as melts.