Or, Quick asked Nate about the headband, and Nate said he didn't care if Wallace wore it. I highly doubt that conversations about headbands were at the top of the list went Nate was talking to Wallace about the game plan. So, Nate doesn't care, but this is never communicated to Wallace, who is probably told by someone about the stupid headband ban.
The new guy doesn't want to come in and be treated differently. The guys that have been around respect Nate and do what he says, if the new guy can do what he wants he might not be accepted as easily.