it looses his helmet when he looses his last head given that only one is equipted. Although I dont think that its cost effective to put helmets on zmeys maybe a helmet with fear aura but thats about it, putting more than one feels like a waste to me.
I read that also zmeys are mainly used as anti-chaff rather than anti sc so one more reason not to fully equipt them and to save your gems for more important things(they do quite well with or without a helmet anyways for their role)