Yes it will not show ,if you see carefully,when new page of Grouped data is opened their is no Page Header Section .
so to display the field headings you need to create the same Field Headings in your Group Header Section
then in those field heading right click ---Format Text --- Common Tab --- Suppress x+2 enter
drilldowngrouplevel = 0
so they will not be displayed on inital page when you click on group heading they will be displayed.
So you need to create the same field headings in your Group Header Section as in your Page Header Section .
Cheers
Rahul