I think the context of the quote being shared by Bamburger is that he isn't being paid by the PGA of America to wear a PGA of America hat. Also, he is not obligated by his sponsor to wear his sponsor's hat, therefore he isn't going to wear a hat at all. For a person who is obligated to wear a hat all year long, I think he was saying he will avail himself of the opportunity to go without a hat. If the PGA of America were paying him, they could obligate him to wear their hat.
Personally, I think his wife told him she didn't want a forehead tan line in her wedding pictures, ha.