It is a grey area, they are not really support nor are not approved headgear (i.e. a scrumcap) so are not expressly permitted, but if the uncompressed thickness is under 5mm they would not be banned under Regulation 12 4.4(g) so are not expressly prohibited.
But if you permit tape round the forehead, why not a headband?
At the end of the day, the referee is the judge of fact, and if you think any item of clothing is dangerous or illegal, you must tell the player not to wear it. If they do not take it off, you must order them from the field. Law 4.5.