docx4j implements this by replacing the component with an altChunk tag.
The OpenXML spec says that an altChunk can have any of the following parent elements: body (§2.2.2); comment (§184.108.40.206); docPartBody (§2.12.6); endnote (§2.11.2); footnote (§2.11.10); ftr (§2.10.3); hdr (§2.10.4); tc (§2.4.62); txbxContent (§220.127.116.11)
So in principle, a component could be inserted in an header/footer. And testing in Word 2007, you can use a docx altChunk in a header; it just includes the contents of the altChunk docx's document.xml (ie ignores any header it might have!)
So I guess we should allow it, especially since you may want to insert corporate branding via header/footer, and a component is a good way to do this.