When you anchor something to page, you anchor it to one specific location in the document, for instance page 11. The header doesn’t belong to any fixed page. As @charlie.it wrote, you have to anchor to paragraph, or in some cases to character, dependent on the kind of image. Remember that anchoring means you fix the image to a location relative to the anchor. Anchor to page means relative to a spot on a specific page. Anchor to paragraph means relative to the location of that paragraph - regardless of the page where that paragraph sits. Because the header location is fixed, the location of an image anchored to paragraph or character in the header will get the same location on all pages where that header appears.