Given that he doesn't say anything when coming back to reality about not having the suit or headset on, I'm guessing he did, in fact, have it on. To me this seemed a glitch in the writing. It seemed like going into it they wanted this to be the point he realizes he can visit Eternum without the headset, but then it was like they decided to do it later in the game, but kept the first part in anyway. I feel like not knowing made the story weaker, not better. Awkward rather than intriguing. It's probably the only significant thing in the entire story I could find to criticize, though. This game is epic. I wish I could suggest it to tons of people I know, but unfortunately the genre makes that awkward!