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back in the "old" days headlights, blinkers etc were made of glass. The reason they were taped was in case of an accident it would be easier to clean up.
so you don't drop glass all over the track and create a hazard for everyone else. It's like when some tracks require you to replace your 50/50 coolant mix with pure water.
I personally don't think taping your headlights up is going to make much of a difference since it takes a rock (or a big rock) with a lot of force to break the headlight covers. You're more likely to earn yourself a crack from a rock off normal roads than you are at the track. Just my opinion though...