I just noticed I am running into the same issue. This wasn't present in previous versions of Pro.
If the font weight haven't been used in theme options, they won't be applied in the header.
Ie. If I set my header text to a weight of 700 but my headings or body text don't utilise the font weight of 700 it won't load with the site, regardless of what you set it in the header builder. (it will load fine within the header builder but not on your site.)