Akshully, a significant portion of them prefers to fight without a helmet where possible, for various reasons such as chapter culture or certain gene seed variants. The primarchs are also often depicted without helmets, but considering the lore is essentially imperial propaganda it might make sense to depict them that way for PR reasons.
Wearing insanely heavy armor only to leave the helmet off seems like the kind of thing so obviously stupid it should be kept out of propaganda material at all costs.
Not defending the practice in a combat scenario because that's obviously dumb especially in the uber warfare that's happening in 40k. Virus bombs that can destroy entire ecosystems in proverbial seconds, rounds and shells with more diameter than a fucking bus, chaos sorcery of the worst kind is a frequent encounter as well.
But for propaganda material it makes a lot of sense I'd say, the masses need to see their heroes' faces. There are also some marine chapters that use mutated or otherwise extreme gene seed when making their warriors, for example one chapter becomes a lot more animalistic in its physical characteristics and the helmet negatively impacts their altered natural senses.