The helmet/shades are to keep his identity secret. When Wily found protoman after he ran away from Light, he repaired him, replaced his generator, and made him a combat robot, giving him the Shades/scarf so Light wouldn't recognize him if he saw him. Protoman helped him out of gratitude, in 3, he occasionally fought Rock and then opened the way for him, and saved him from Wily's fortress at the end, in 4, he turned on Wily and rescued the hostage Kalinka, so mega man and Cossack would stop fighting.
Light knows who Protoman really is, Rock does not. At least that's the idea. mega Man 7 rewrote the entire script and made it seem like he knew already.