There could be a technical reason for it not to be available for custom domains (yet?). The page mentions that the header is set for all pages served by github

There could be a technical reason for it not to be available for custom domains (yet?). The page mentions that the header is set for all pages served by github.io, which leads me to believe they add the header on the reverse-proxy/loadbalancer side for github.io pages. Custom domains most likely use separate proxy/loadbalancing infrastructure where the same change could take longer to implement, or they might be exploring options to make it configurable.