If he was really sensative to insects, I would put a fly mask on him - depends on the horse, and the owner.
I did learn one thing about fly masks though...I originally got her one of those pink plaid ones you see all the time on the SmartPak website...and it was so STIFF she hated it! She'd also manage to get 1 ear out of it and then it was really uncomfortable for her...plus I think it was hindering her eyesight a little as well, because she would spook at things that normally she doesn't while she was coming in from the pasture with it on.
So I got her one of those "Quiet Ride" ones that are designed to go over the bridle for trail rides or whatnot, and she gets turned out in that. No issues with that one, she's totally ok with it...and since the bugs bother her SO MUCH when they're around her face, she's happier with it.
So like you said MIEventer, it really does depend on the horse's individual needs