Yeah, figureheads are supposed to protect you when traveling. From playing the game so much, it seems that anything less than the dragon figurehead only protects you while in the Mediterranean or in the Northern Europe area. Dragon and above offer some protection outside of those areas.
The main thing is that figureheads will often protect you from storms, but even with the best figureheads (Goddess and Angel) you should probably still travel with a number of balms when sailing outside of the starting area. Since you rarely, if ever, see storms in the Mediterranean or Northern Europe area, figureheads aren't really needed until you leave those areas.
Figureheads do not seem to protect you from those "spot" hazards, like ghost ships or tornadoes. I don't have a complete list of "ship disappearance spots", but the best figureheads may protect you from some of those.
The two best figureheads become available when a port reaches 1000 economy and industry. I've given the mechanics somewhere with the "real" numbers, but basically at the maximum port level there is a chance the shipyard will offer you a "Great Selection" which will include one or both of the best figureheads. It is still a low chance but it is easy enough to click back and forth trying to get the "great selection".
The short of it is that the more expensive a figurehead, the better it will protect you in your travels.
Guns are the same basic idea, the better guns become available once a port is at or very near maximum levels. There is only one version of the best guns and it combines the two best that are available before that port level is achieved. It is the Carronade which has the power of the canon with the range of the culverin . Again, it only has a chance to show up and has the same "great selection" precursor when trying to buy.
All of this seems to apply the same in all versions of the game.
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