You have 2 distinct questions. In answer to the "Why do commercial helicopter pilots wear helmets, when instructors and students don't?" as well as the implied "Why do Canadian Pilots Wear them when American pilots do not"
From what I can tell, a large part of the American industry is either "lower risk", Multi-engine flight from airport to airport, or passenger oriented, i.e. Tour pilots, Offshore pilots. In Canada, while there are still Tour pilots, and pilots flying airport to airport, both will, over the course of their job, fly over much more remote terrain, routinely preforming off airport landings in remote, unprepared landing spots. One of the techniques used in Canada more often than other countries is Long Lining. Not only do the doors often come off for better downwards visibility when doing this it also is more risky than normal flight.
As to the part of your question regarding why some pilots do not wear helmets, rotary wing aircraft have a significantly higher chance of crashing than a well maintained commercial fixed wing aircraft. As far as American flight instructors not wearing helmets, it is probably down to culture, I have read some people arguing that the instructor wearing a helmet scares potential customers. Inversely I am aware of at least 1 Canadian flight school witch provides students helmets as part of there commercial training. There may also be a link to the fact most Canadian Instructors are experienced Pilots, while the US industry uses mostly brand new pilots as instructors.
Jamiec's Reasons are the answer to the question in your title
Reasons not to wear a helmet might include:
- Uncomfortable and/or Hot
- Cost: about $1500 and up
- Looks [worry’s about intimidating customers]
- Simple belief they are not necessary