In the ongoing debate and discussion regarding whether or not Messianic believers should wear a kippah, this particular bit of information was enlightening for me so I thought I would share...
As to the obligation of wearing a kippah, halakhic experts agree that it is a minhag (custom). The prevailing view among Rabbinical authorities is that this custom has taken on a kind of force of law (Shulkhan Arukh, Orach Chayim 2:6), because it is an act of Kiddush Hashem. From a strictly Talmudic point of view, however, the only moment when a Jewish man is required to cover his head is during prayer (Mishneh Torah, Ahavah, Hilkhot Tefilah 5:5). http://www.articlesbase.com/international-business-articles/kippah-572140.html
It is interesting on a number of levels but here are two that jumped out at me:
1) wearing kippah is a minhag (a custom). There is no mention in Scripture of Yeshua ever wearing a kippah (of which I am aware). It does not appear that it was His custom so we have no example in Him to follow by wearing kippah.
2) wearing kippah is only a requirement (from a Talmudic perspective) during prayer which happens to be when I wear kippah during the week... during afternoon prayers.
No definitive answers... just a bit of information. :)