You’re taking the feature by the wrong side (and the menu command is clumsy by itself because it does not try to educate users).
A part from the text in your document, you have ideas about layout and appearance. The document is then structured into “parts” which have their own “personality”. This “personality” is embodied in a page style. A page style defines all the geometric properties of a page: margins, of course, background, parity (left or right), header/footer, footnotes and several others.
As you can see, header and footer are intrinsic properties of a page style.
Insert>Header & Footer>Header/Footerxxx is in fact a shortcut to a specific checkbox in page style configuration dialog. It is a quick’n’dirty command to enable or disable header and footer of the selected page style. It does only that. To fine tune your header or footer, such as its height or distance to text, you must anyway enter the configuration dialog.
To answer your question, select the active page style.
Since you’re asking, I assume you never heard of page styles. Look at the bottom status bar. The currently active page style is reported in the center of the bar. It is likely to Default Page Style. Consequently tick Default Page Style in the menu command list.
For smarter use of Writer, I recommend you read at least the Writer Guide, notably the chapters dedicated to styles. Read also Bruce Byfield’s Designing with LO (available from the same link after pressing “More” and scrolling down a bit) which clearly explains all the benefits you can draw from styles.
PS: when asking here, always mention OS name and exact LO version (and when relevant, save format because most answers on this site are valid only for .odt).