I agree and was really surprised to see the rider in the video not wearing a helmet, even though it is legal to do so in California if you are over 18 (it is not, however, smart). The answer is to just carry one with you-- they aren't heavy, and you can usually strap it onto a backpack when not in use.

As an aside, riding on the sidewalk in the business district of Mountain View (the video is clearly Castro @ Villa) is not actually legal (http://library.municode.com/HTML/16508/level3/PTIITHCO_CH19M...)