The Duke of Wellington was assured of victory in battle
whenever he wore his special headgear.
I enjoy the understatement in this BBC news magazine explanation of this phenomena:
"The placing of traffic cones on historic statues can be blamed on two factors - alcohol and the prevalence of roadworks of some kind in city centres."
It's a funny and relatively harmless prank - unless the prankster falls off while attempting to hat the statue.
Queen Victoria wishes to thank her milliner.
Actually, pranksters may not be responsible. It could be this guy:
"I say traffic cone on statue head is
religious ritual! What say you?"
(And in a side-note, the artist prankster responsible for creating the above monster in North Carolina was charged with "misdemeanor larceny" for repurposing the barrels from a construction site. I wish him a long and successful monster-creating career.)