While for the 'highlight' of the Great Northern War their hats are totally ahistorical, I am of the opinion that any horse and musket Russian wargames army needs to include the Preobrazhenski guard, with the funny hats. It's just one of those wargame things, like red tunics on Roman legionaries and Old Guard Grenadiers appearing in every battle. Noblesse oblige
So, if you are of the same opinion and still looking for figures to represent the Guard Grenadiers with their specific helmets, I used the Foundry Seven Years Wars figures for them, though checking just now I could not find them on the Foundry website anymore. But knowing Foundry, they might still show up again some time in the future.