Hi Peter,
I have to say that I was really depressed. I am just a bit over six months pcs. So, 2 weeks ago I told myself that I won't change anything with my depression and anxiety but be in my own way. Why analyzing symptoms when it's making it worse.
So I try to ignore them as good as I can and I already see some symptoms getting less. Not all of my symptoms are caused by anxiety but many are. I feel way better and I am finally happy again and have more hope!
So I would say yes, your headaches could also have anxiety reason. I am no expert tho, its just a guess...