I get what you're saying (and I would prefer headgear as well), but it's all about advertising, marketing, actor contracts, percentage of time in film "masked", etc. We're stuck with it at this point. Names and billing.
For example, Chris Hemsworth as Thor needed all of the face time he could possibly get due to the weakness of Thor as a franchise/property/product (prior to Ragnarok). Thus he never had a helmet. Even the helmet in Ragnarok was bare minimum in design.
But damn, I don't think anyone can argue that Cap/Chris Evans looks badass as bearded Nomad.