I have found that column headers behave differently when writing a query from scratch (new query) versus opening a table. When I "open" a table with a right click, I cannot get column headers even with the option set. When I use "New query" the setting works.
When opening a table the Query Designer toolbar is active, enabling "Change Type", "Verify SQL Syntax", etc. In this mode the column headers do not copy even when the option is set correctly.
When using "New Query", the Query Designer toolbar is not active and the column header copies when the option is set.
Another observation. In SQL 2000, the grid lines would copy when pasting to Outlook. Now I have to paste into Excel and turn on grid lines to get lines when pasting. Anyone found a better way? 😉