Don't setup player instance in headless mode

This PR removes the local player setup from `StateLoading` in headless mode.

Note that a `LocalPlayer` is still registered at `CoreRegistry`.
I tested various setups: server/client/load game/create game and it worked as expected.

I'm not overly happy about passing the headless mode in through a boolean flag - any other ideas? The GameManifest is the wrong place and adding new NetworkModes (Headless server and maybe headless client observers) doesn't sound right either - it's not about networking really.

Fixes #1069