This has been fixed in the development code, I discovered it a few weeks ago, but haven't been able to finish up a bug fix release yet. As a temporary fix, you can manually adjust the TabModuleSettings for the particular instance of the module you want to change.
Basically, just get the TabId and ModuleId for the module you want to change (its in the URL if you go to the settings page, i.e. 'http://localhost/dotnetnuke_reports/Home/tabid/36/ctl/Module/ModuleId/363/Default.aspx' => TabId = 36, ModuleId = 363). Look in the TabModules table to get the TabModuleID for that pair. Then look in the TabModuleSettings table and change (or create if it does not exists) the setting with the TabModuleId from the last step and the SettingName 'dnn_ReportsVis_Grid_ShowHeader' to "True" or "False" depending on whether you want to show or hide the header (respectively).
FYI, the ShowHeader setting is not loaded in ReportsController.vb, it is loaded in /DesktopModules/Reports/Visualizers/Grid/Visualizers.ascx.vb (line 168). The setting will be working correctly in the next version.
Sorry for any inconvenience! Thanks for using the module, please post any other bugs or suggestions in the forums!