They didn't, most japanese anime toys are the same way nowdays, they split up in two, three or four pieces to put in the figure, just thank god you are not a saint seiya fan, because I have had nightmare stories from helmets on the character, one Loki's helmet is not chrome based paint, meaning that the paint won't melt to the face of the figure, two, Loki's Helmet is not a flimsy and it actually splits in hafl top and bottom, and it won't move up and down or have a half inch gap from the side to the face.
I can atest also that THERE was a back piece to the helmet, when I first took it off, I felt something brake and saw a holder fall out, it was the back piece, but either way it seems it doesn't need it because it sits perfectly. If you guys are scratching the face, the instructions tell you to pull open the helmet a bit to slide it in and out...