So do all but two of mine. The one exception is the librarian, who has to wear that hood of his. (The terminator librarian however, does have a standard helmet with hood wires going into it) The other is sergeant Baradiel of the devastators, who's face is largely cybernetic, because not wearing a helmet has already costed him a half of it.
As for sergeants, I mark them with black shoulder pads and tabards. The idea of giving an officer a bright red helmet with the badge of honour in the middle of his forehead irks me as much as not wearing one in the first place.
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Coming back to the first post, I can agree with some of it. However, even with all its craziness, Warhammer has some standards of realism. Just look at the intro to Dawn of War, where an experienced officer makes a heroically idiotic tactical error and then his heroism no longer matters - he gets a full squad of space marines under his command wiped out within a minute.
Also, a captain has an iron halo - he of all people can afford not to wear a helmet.