You can change header from both Customizer and page level. If you want same header on all pages, then choose any header as per your choice from ‘Customizer > Header > General > Select Header Style’ (Figure-1) and choose ‘Theme Default Header’ from page level (Figure-2) and this is not applicable to Blog, Blog single, Shop and Product detail pages.
If you want different header on any page, then go to that page and choose any header except ‘Theme Default Header’ from ‘Select Custom Header’ section.
As layout for ‘Blog’ and ‘Shop’ pages are managing from Theme Options only, so you won’t be able to edit those pages through ‘Elementor’ and can’t choose individual header for them from page level. You can choose header for them from ‘Customizer > Header > General’ (Figure-4).