The MB says if the custom is to daven with a hat, you should. In many communities, the derech is not to wear a hat. So according to the MB, in those places, it’s fine not to, right?
Personally, I wear a hat on Shabbos, but not during the week. In my community, the vast majority of people don’t wear hats – many don’t wear white shirts on Shabbos either, but I do that.