Men's Headgear in the Talmud, part 2

Here's another short story about another Talmudic rabbi who had a head-covering practice:

רב הונא בריה דרב יהושע לא מסגי ארבע אמות בגילוי הראש אמר שכינה למעלה מראשי

Kiddushin 31a

Translation: Rav Huna the son of Rav Yehoshua would not walk 4 cubits with an uncovered head.  He said: "The Shechinah [G-d's presence] is above my head."

This aggadah- story- is the second mention of a rabbi covering his head in the Talmud.  Notably, neither instance has any indication that the behavior is anything other than a personal pious practice- there is no comment that such behavior is encouraged.  On the other hand, we learn a great deal from the practices of the sages of our tradition.  However, the fact that there is no indication of requirement or even encouragement for the community to do the same is behind the line of later poskim who hold that wearing a kippah is minhag (custom) rather than law.

This story also introduces one of the primary reasons given for wearing a kippah- that the Shechinah is always above us.  Often it is phrased as a reminder that the Shechinah is always there, watching us.  In other words- a more conscious, intentional version of Rav Natan bar Yitzhak's obstacle to sin.  However, one might also wonder if it is a sort of modesty, not to be "seen uncovered", or even a sort of anxiety about God's omniscience.