Well, it should work fine. You may want to submit your report and data to Data Access so it can be fixed in an upcoming release.

Why don't you use report headers for this? Seems to me that that is what you actually need.

But if you insist on using page headers for this, you can also use "Record Number" instead. The headers on the first page always have record number 0 (if there is no data) or 1.
Code:
return {&Record Number} > 1