You could use a borderless text box on each page and link them for continuous numbering. This would not be in the header, though, and you would have to create the text box on each page. I believe you can link up to 16 text boxes.
Otherwise, in the header, you could use a complex conditional field keyed to the page number to produce the numbering. This would be a real nightmare to create and maintain, though.
The place to ask Microsoft for changes is their feedback mechanisms.