I guess you could say Magneto is selfish and doesn't want to share his awesome helmet with anybody else. But you really can't take First Class too seriously as a prequel to X-Men because of all the continuity errors. Like Xavier explaining how he and Magneto built Cerebro, when really Hank McCoy built the whole thing by himself. He's also surprised to discover that Magneto had found a way to block him in X-Men. I guess you could explain this by saying Charles accidentally wiped some of his memories when he was erasing Moira's. That's not too big of a stretch, is it?
I did have one question, though: Why did Shaw explode after he was killed? He absorbed a butt-load of energy and that energy has to be released somehow, right?