There is an option in the settings to disable helmets. People want to see their character's faces when they play. You still get the stats, it just doesn't show. Check for the setting and adjust as necessary.
I'm suffering from this too. Lost 3 helmets so far. The first two were crafted, so not a big deal...but the most recent one was a really good quest reward that I'll never get back. Really frustrating.
Yeah, I had the same issue. Happened when I went to do some blacksmithing, instead of stopping to show my helmet while blacksmithing it seems it decided to delete it.
Just lost another 6-th level imperial helmet ... This time I know when it happened: I used the anvil and accidentally clicked "R"... Helmet - as the wind blew!