Another test:
I found
a book I had purchased previously that like my test book has an embedded font used for headings.
I sent it to my Paperwhite II and it arrived in KFX format. It behaved consistently with my test book, always showing the embedded font for headings no matter what font I chose to read in.
I deleted the book from the Kindle. I then used "Download & transfer via USB" to get the same book in azw3 (KF8) format and side loaded it to the same Kindle. In that format the headings only show the embedded font when "Publisher font" is selected.