Mk XI doesn't have a helmet. Don't know what your problem is with the KHG set.
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i know, it's an older tread, but i have the same problem with my Gorn. I have both the MK XII Adapted K.H.G and the normal K.H.G. as well as the Omega Force-Set as well as the tailer option for the costumes. Pre-Lecacy i could choose to wear a helmet, but now this option has simply disapeared