What do helmets do in Menzoberranzan, Ravenloft and the other games that use the same engine? Also, what is the advantage of making a straight up Thief character?

There are magically enchanted helmets that lower your AC.

Thiefs can pick locks, an ability that is useful in the Stone Prophet, because then you don't have to bother with most keys. In Strahd's Possession and Menzo there are too many unpickable locks for a thief to be useful. And even when you can pick locks, a multiclass thief does the job as well and has additional benefits. There is no advantage to having a single class thief.