Header not showing up on introduction of first page of each chapter

You have to use a master page with the correct header.

If the master pages are not applied automatically, change the master page:

Format | Page Layout | Master Page Usage

If there isn't a correct master page, you have to create one, as Lin already said.

If the master pages are applied automatically, because a paragraph with a specific paragrap format is on this page, then check the paragraph formats on this page.

The setting is on the reference pages (View | Reference Pages).

This feature is explained in the online help:

https://help.adobe.com/en_US/framemaker/using/using-framemaker/user-guide/frm_page_layout_pl-master-pages.html#topic_assign-master-pages__section_assign-master-pages-based-on-paragraph-tags

If it isn't on the master page you use for the page, it won't show up on the page. If you have different margins or heading information for the first page than you do for the rest of the document, you have to create a master page specifically for it with what you want in it.