Again,
margins are a section property. You can not have more than one margin setting within the same section. Headers and footers are also section parts.
Sections / Headers and Footers in Microsoft Word 2007-2013
Indents are paragraph settings and should be set in styles. In this case, in the Header style.
Here are screenshots of a document set up with no section break. Note the Indent settings in the rulers when in the header compared to those in the body of the document.