As a child in western classes, I always rode with a helmet. Now that I'm a late teen, when I occasionally show in western, I don't. Its a personal choice. If I feel the horse is a little bit hot or its windy, then I put my helmet on. But at larger level shows, I don't.
I know, no-one should be judged for wearing a helmet, but at larger level shows I have seen children lose for wearing one. And that I think is incredibly unfair.