Setup is a noun. Set up is a verb. "Setup the WordPress core custom header feature." is incorrect. "Set up the WordPress core custom header feature." is correct.
Merge pull request #554 from Automattic/fix-setup-typo

Setup is a noun. Set up is a verb.
Add escaping to custom header example. Make sure that proper attribute escaping is added into the example that's in the custom header include file. Since we're not including this in header.php, we should at least make sure that the example given is proper and passes WordPress Coding Standards checks. See #552 for context.