The Header menu option will only be available if your current Theme is making use of this option. It allows you to choose an image (or if your theme supports it, a video) to display in the header area of your site. Clicking the Header menu option will take you to the Header Media panel in the Customizer. In the default Twenty Seventeen theme, the Customizer panel is called Header Media as it supports both images and video. In other themes it may be called Header Image if the theme doesn’t support video headers.
You can select one of your previously uploaded images or you can upload a new image by clicking the Add new image button. If you’re using the Twenty Seventeen theme, the header also supports video so you can select one of your previously uploaded videos or you can also choose to upload a new video by clicking the Select Video button. If you have videos that you’ve previously uploaded to YouTube, you can also enter a YouTube URL in the appropriate field. To save your changes, click the Save & Publish button at the top of the page. Again, depending on the theme you’re using you may or may not have this Header option.