Multiple cases have been documented of children strangulating themselves wearing a bike helmet while mucking about on playgrounds and the like. Entire education campaigns have set out to prevent the wearing of helmet in activities that turned out to be made less safe by them.

But I agree with your general point, if the marginal safety gain during cycling was enough to make them mandatory, few activities would remain without mandatory protective headwear (my last bike-related head injury happened while walking through the kitchen during maintenance).