It is customary in Catholic Masses for women to cover their hair. Non-Catholics visiting a Catholic Church who are aware of this normally comply, out of respect.
I've not seen that, but I've only been to a very few Catholic masses. I'll ask my daughter, who is Lutheran, and my son-in-law, who is Catholic, about that. (His mother takes communion during Lutheran services, as does he, and AFAIK, my daughter does likewise at catholic masses)
But, there is still the fact that the women were not merely women, but members of the US Military, in uniform no less. They were actually out of uniform during the time in the Mosque.