It seems that I can't use any other syntax inside headlines. Is this a bug?
No, it's not a bug. It's a limitation of how headlines work in DokuWiki. There are two reasons:
A more detailed technical explanation is available in this mailing list post.
But what about typograhical entities like endash?
What about that? I have no trouble including em-dash, en-dash, no-break dash, ampersands or anything in headlines. And they are not “forbidden” AFAIK. — Luis Machuca B. 2009/02/05 04:28
But what about illustrating a headline with an icon otherwise ignored in TOC and links ?
General styling can still be done with CSS, including icons, backgrounds and color. A tips page has been added, including case uses and pictures, as per discussion in the Forums. — Luis Machuca B. 2009/02/05 03:03
If you really want to insert wiki syntax in the header, try plugin Header2.