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:

1. From a typographic view it's considered bad style to have any formatting in headlines
2. The headlines are used in the TOC and some other places as well, doing this with markup in between would be technically very complicated and error prone

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.