That’s not security it’s a hold over from when all men wore hats and you removed them when you entered a building and when outside removed them when you were in the presence of someone who was substantially your better (Lord, Judge, etc). In the 50’s and earlier when you were going between clients in the same building you put on your hat so you could be seen removing it when you entered the new clients office. Strange but true. While women covered their hair when entering a church men removed their caps. Same idea.
It is partly security and partly custom. Several articles in the local newspaper have covered the issue after a cancer patient was forced to remove her head covering and cried due to the embarrassment. Discussions about the security aspect followed. However, the judge who originally denied the woman rescinded his order after a public outcry. I believe that judge now does not require that head coverings be removed, although the Sheriff would prefer that they were.
Ya it is a respect thing. I was sitting in a courtroom once and a detective came up to the stand to testify in a little case, I forget drugs or weapons violation or something. Anyway the Judge BOOMS out at the detective “ARE YOU CHEWING GUM IN MAH COURTROOM?!!!”. The judge loses it and tells the cop to get rid of the gum. Later the defense attorney asked for suppression of evidence and dismissal. Judge agreed. Case closed.
As for security and hat/ hair coverings, there are some issues such as covert weapons infiltration (and other things) with small knives, razors and other items, but that should be hit by the metal detectors or wands at entry. As for “letter opener” carbon fiber/kevlar style edged weapons or even hair pins modified for gouging..those could be put in hats or hair coverings but those things could easily be put elsewhere on somebody (pants, taped to leg, *ahem* elsewhere) to get them in if the court security isn’t doing full pat-downs or using advanced scanning equipment to catch it at the entry points.