I added it as you said the following before:

> https://github.com/yiisoft/yii2/pull/809#discussion_r5967212
> Yes, I think we need an additional property (either label or headerLabel, I prefer the former).

Label is always use when header is null, and I also used GridView to use label instead of header for short column definition.
Separation is quite clear imo: 
- label is default content of the header column (sort link and normal header) and will be Html encoded
- use header when you want to specify header column content directly that will not be html encoded (e.g. customized html)