Not being a windsurfer I don't know much about it all, but looking through a few image search results, everybody is doing it bareheaded like this British chap
I can't say that I've ever seen somebody wearing a helmet while windsurfing before......
Considering that there are probably a half-dozen highspeed patrol boats with secret service agents and at least one doctor just outside of the image, I'm having trouble visualizing this threat to his head that he apparently perceives.
His head looks bigger than his puny little body LOL