I've never ridden a segway, but I have crashed my bike at this speed. I imagined that it would be really bad, but having done it a few times, it is really not that bad. You are moving parallel to the ground, so most of the energy is absorbed by the pavement slowly grinding the top layer of your skin off. Somewhat painful, and very bloody, but not life threatening.
I imagine that riding into a wall at 20mph would be pretty bad, though. All that energy instantly acting to crush your bones and internal organs. I haven't actually tried it, so this is just speculation. (Please report back if you try it ;)
(Oh, and as for the helment; I always wear one, but I have never landed on it while crashing. Let your arms and legs do the work :) I think you have to do something weird to land on your head.)