To provide some context, here are some photos from S7E6.
No one is wearing a hat and only Gendry is wearing a hood.
Another photo of some of the same characters but no one is wearing a hat or hood.
Daenerys in winter clothing but she isn't wearing anything to keep her head warm.
There's definitely room for someone to write a full response on this, but myself and /u/whoosier addressed medieval winter clothing in general here, including the use of hats and hoods. I'm fairly certain that this is done on the show to make it easier to see the characters' faces for acting purposes and for identification.