The reason of that was the sweat because of the warm lights, now the reason is that MK wrists are not what they used to be so he probably need them to prevent pain, the headband is not needed.
Unless he has a sore head!
I think it was already not needed in the OES tour, but kep as a gimmick; next, Mark said: enough of these stupidities...
It was already not needed in Sydney 86, I think, since it's not more a "sponge" one.
So the gimmick started at the end of the BIA tour.
Same for Prince' trust 86 : same "clown" clothes as Sydney
And the Mandela and Knebworth gigs (I think also Prince trust 88 ?) are the exceptions during this era : no headband here