The cage makes it harder to see the game at your feet. There's also just the culture of hockey. The last un-helmeted NHL player didn't retire until 1997. Referees often didn't wear them for some time thereafter. I remember one ref, Kerry Fraser, who retired in 2010, who refused to wear a helmet so as to not mess up his famously coiffed hair.

The NHL did recently mandate visors for all new players entering the league; it seems quite possible cages will come before too long.