There are a few reasons you don't see the chapter progress in the header. The simplest is that there is only one page. In that case, you just get the chapter title.
The chapter heading is based on the ToC. Different things happen when the ToC entries do not have a one-to-one relationship with the internal files. If there is more than one ToC entry per file, then the chapter heading should change as you go, but the progress isn't always perfect. If there is no ToC entry for a file, then the chapter heading doesn't change when you go to the next file, but the progress might. I'm not sure exactly what happens with this as I don't have any books on my device in that state.
The ToC is built from the database which is populated when the book is imported. If this gets out of sync, then interesting things can happen. If you replace the book with a restructured book via calibre, you can get this. Removing and resending the book would fix this. And, at least for kepubs, the database has some numbers that have an effect on the progress and how it is displayed. Some of this is calculated when the book is imported and some when the book is first opened. If there are problems when these steps are done, it can mean some strange results later.
That is what I can think of off the top of my head. There may be other reasons, but, I might not have seen them myself.
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