Fairly non-trivial to implement, and generally not an issue when you aren't trying to do something so heinously stupid. If someone wants to put an image in a header for legitimate reasons (e.g. a custom letter), that's fine! If someone wants to put a hyperlink in a header, again for legitimate reasons (e.g. making it link off-site) then that, again, is fine.

...and if someone wants to put an H4 in a footnote with a giant image macro in it, then make no mistake, there is a wall for you to be the first one up against.