Blueshield's job is supposed to be ultimate body guard. Protect all the heads, including the HoS, though he's usually a lower priority as he's the most equipped to protect himself. Still one of the Blueshield's charges. HoS isn't supposed to spawn an unstoppable super soldier, he's supposed to manage sec and have access to a lot of weapons for arming the station in times of crisis. Blueshield is supposed to be generally combat ready, even in Code Green, so he has special gloves to handle whatever situation he has to go through in order to keep the heads alive to keep order. Security, and by extension the HoS, is supposed to be ready for minor crimes on these levels, and when they need insulated gloves for a threat to get them instead of start with them.
Tl:dr; Blueshield gets gloves because he isn't sec.