As Dwanthy noted, the save to disk and a few other options update the metadata without a full conversion. Use one of those options and then import the updated file back to Calibre. I haven't tried this, so YMMV. You could use the batch mode to send a bunch of files somewhere else, then re-import them.
There isn't really any such thing as 'header' or 'footer' for any formats. Those are simply placeholders for find/replace patterns which are most commonly used to remove headers/footers. Generally either one can be used to remove both the header and the footer. To make any use of them you would need to learn how to use regular expressions though. If enabled they do apply to all formats though.
You're correct that the device would need to manage the placement of headers and footers. The epub specification doesn't fully define header/footer handling, so there are no devices which attempt to do that. The header/footer removal feature is for removing headers/footers from other documents such as pdf.
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