There are many ways that AutoTag interacts with MS Office that affect how you can use Windward's Tags.
Should I be able to use a For Each tag inside a header with the end tag in the footer?
That won’t work. A header or footer are each a separate document. Tags in a header, footer, or the main document cannot depend on tags in the other sections. So if there is a ForEach starting in a header then when the header ends, if there is no EndForEach tag in the header section, you will get an exception.