One of the most famous events in the lore is the death of Baldr. Baldr is killed by Hoth (Hodr). Vali is birthed to avenge Baldr by killing Hodr.

As a the aspect of vengeance it seemed right to me that Vali would be masked. The horns of his helm are twisted because vengeance is always a twisted act, no matter how just. His oath is to not wash his hands or cut his hair until the target of his vengeance is dead, I know this was a common oath of vengeance, and yet is seems so fitting that the act of vengeance is unclean.