Pages 8.0 really only supports some functionality from Word 2013, and if there is differences in the current Office365 Word headings/footers that Pages cannot translate, then it will drop it when opening the document. End users have absolutely no control over the translation engine within Pages.
If you are doing something fancy with your Word headers/footers, or you are using a template that may be using Word basic to do something special in your headers/footers, you may want to stick with basic functionality and see if that is translated properly by Pages. There is always the possibility that Microsoft has changed their header/footer content and this may be incompatible with Pages until or unless Apple updates the translation engine.
Pages is not a Word clone, and switching from Word to Pages will cost you a great deal more than a small, annual subscription sum.