Sheared snow golems will 'regrow' their pumpkin helmet if they are unloaded and reloaded by chunks or by rejoining the world.
I did think this would be reported already but the search engine suggested otherwise, so here we are.
Environment
Windows 10
Java 1.8.0_25 64bit
First result when searching "golem pumpkin": https://bugs.mojang.com/issues/?jql=text%20~%20%22golem%20pumpkin%22