Hi, thanks for clarifying your steps.
You will only get access to Stop button once you close all pop-up windows, including "Page Setup" and "Header". So, once you set up your Custom Header, just apply your changes by clicking on OK, and then Stop Recording.
In fact, VBA won't record any actions that you took in "Header" window unless you actually apply it to the active sheet. You can test it yourself if you open VBA window (Alt+F11) and display both VBA and Excel windows side by side on the same screen. Then, once you start recording a macro, you will notice how new lines of codes are being added with each action you perform. You will also notice that nothing happens on VBA screen once you open the "Header" window; the code is only being added once you press "OK" and apply the changes to the existing sheet.
Let me know if that makes sense.