i believe that the epub format (which is still being defined) does not yet support a running header, which is why calibre does not offer this option for epub output. i hope the idpf
will address this soon, because like you i really like a running header (many ebook formats don't support it, which i think is really a shame).
however you can also make an lrf file using calibre and this format will allow a header. (if you do this, i recommend *also* making an epub file for archival purposes, since lrf is a closed format).