Hello Erik,
what exactly do you mean by "header traces"? If you need headers that are sent from server to player for each request, they are available on VERBOSE logging. Turn VERBOSE logging on for "Agent Worker". Then check log files "c:\ProgramData\SolarWinds\Logs\SEUM\AgentWorker...log". You will see all server responses logged there together with received headers.
If you need also headers sent from player to server, you need to use some 3rd party tool. I recommend Fiddler that is pretty powerful and provides lot of information. If you run Fiddler on the machine, it captures HTTP traffic and displays it. If you don't necessarily need traces from Player and you can reproduce the same behavior in Recorder, it may be easier to run transaction in Recorder and capture communication using Fiddler on your machine.