It was because James had overcome his fear for pretty much anything, and all that really mattered at that point was that Maria had been killed, and all of James' personal demons were forgotten, they killed themselves, in a sense. The Pyramid Heads represent one of James' greater personal demons, just as all of the enemies of SH2 do, and they had been overcome, and had no more reason for existing.
SH2 was a kickass game, was it not?
