Sometimes when you're driving down a road, a bug hits your windshield. It's ugly and unpleasant, but you just activate the wipers / cleaning fluid and it's gone in a few seconds. It's just part of driving down the road. You don't dwell on it, because that'd be silly. Bugs aren't worth the time.
Because he is made out of a extremely lightweight, and durable Titanium-X alloy (Titanium-X is an alloy in the Mega Man universe. Lightweight, and very strong.)
Also I'm surprised no one has noticed X has taken off his helmet. He hasn't taken it off in front of the group before.