I have no idea (yet) if that also happens with the CURSED armor or the transmog.
Only found out that is not the intended behaviour when I read the patchnotes of 1.41 concerning something similar happening to the Fallen Hero armor:
https://discussions.ubisoft.com/topic/124566/assassin-s-creed-valhalla-title-update-1-4-1?lang=en-US
Helmet and facial hair could disappear when hooded while wearing the Fallen Hero gear.
No, I can't record a video of the helmet disappearing.