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I hope not! I rebuilt the engine in my car and I don't have anything BUT headers! :eek:
I really don't think it's something to worry about. You could probably argue that headers are better for a new engine. They'd be thin arguments, but you could argue that way.
Think of it this way. Which of these is going to run hotter:
a) A new engine that you're just breaking in
b) a broken in engine that you're running HARD
You're probably not going to be driving the new engine all that hard during break-in. It'll run much hotter once you break it in and start opening it up, seeing what it can do.