I was on the fence with this question also until about three weeks ago.
As a 40 year dirt bike veteran, I have never ridden without full gear.
But when we got the RZR,many rides have people that don't wear helmets so we tried it too.
Kinda felt good but always felt "risky" as a long time helmet wearer.
So we did a snow ride,thought we would be riding slow, and rolled our RZR over on it's side on a shelf road after trying to bust through a big snow drift.
We weren't even moving forward when we went over.
The side incline made it a long way down and we landed on a pile of rocks.The rocks mashed our brand new door and my wife's head hit the pile of rocks hard enough to give her a mild concussion.
I will be replacing her helmet.
If she hadn't had the helmet on,who knows how bad she would have been hurt or maybe even killed?
So now we know we'll never ride without helmets again.
So yeah,we have a cage but sometimes the rocks get closer than they should be!