IF you are using the built in dnn login default page -- then no other modules will appear on the page as the default login page is based on ctl=login  --  the moment there is a ctl= in the url path - dnn switches into single module per page / edit.- admin mode.

You need to create a custom login page somewhere on your site - add the dnn login module to that page - and then set that page as the system login page in admin settings.

Once the login module is on a custom page - you will be able to see the missing header module.

Westa