I know this thread is several years old but...
I was also using headers.dll, headers.fff & headers.pm successfully until recently (inside the last year).
However I am now running 4.70 and no headers from headers.pm appear in outgoing emails.
I can see the headers DLL in extensions manager and reporting is set to 4.
Does this DLL not work under new versions of Pegasus?
I am familiar with the customs header facility and also the recently used list, so its easy to include a header without re-typing.
However its also far to easy to forget to include a custom header - the setting is not sticky.