I've never once had a headache in any of my lucids. A possible reason for them is that you're unfamiliar with the whole aspect of LDing, so your mind doesn't know how to react when you try and control your dream, or even when you just realize that you're asleep. They could also be caused by placebo... Maybe the first time you tried to do something in a lucid you got a headache, just randomly and out-of-the-blue, but then you assumed that would happen the next time you became lucid as well. Ignore any premonitions that you might feel pressure or headaches and see if that helps.

It's normal to experience sensations that briefly pass over from the dream to waking life, because we're still not fully out of sleep mode for a few instances. Since it was just in your dreams, I'd say it's nothing to worry about.