I'm not sure how the myth that one doesn't wear headdress with mess kit got started, but it is indeed a myth. I suppose it might have something to do with the fact that we don't normally wear headdress indoors (unless you're teaching a class in the Army) and mess kit isn't really worn for outdoor events. Nevertheless, mess kit is a uniform and uniforms include headdress. In fact, the last time I read the instructions on how to get new mess kits approved, they specifically stated that proposals shall include proposed headdress. When I go to mess dinners, I tend to bring headdress as I will often take public transit home (rather than drive).