From what I've seen so far I suspect one of two things is at play:
1. The actual header row and/or column is not defined where you think it is.
2. You're using the NVDA feature to try to set this up in NVDA itself rather than the Excel feature to set it up in the worksheet. If you did the latter, you'd still have to turn on the screen reader feature to interact with that Excel feature, if memory serves, but it would carry along with the Excel document itself.
I wrote up the following quite a while back:
Assigning a Title Row (Column Titles) and/or Title Column (Row Titles) in Excel
You can assign column and row titles in Excel. These are nice because they always work with Excel and are saved to the workbook. There's no risk of losing a setting in your screen reader.
To add column and row title names:
i. Open the Formula ribbon (ALT-M)
ii. Activate the “Define Name” command (M)
iii. Within the drop-down list, activate “Define Name”
iv. The “New Name” dialog opens
Focus is placed in the name field. Within the name field, you can name the focused cell or selected range of cells. In this case, we’re naming the column or row title:
i. Start the range name with the label that tells Excel you’re creating a title range
ii. Add a name for the range. I stick on an underscore then either the name of the workbook if I intend to make the name assignment applicable across the workbook and not usable anywhere else (see step iii, scope) or just leave it without anything else if I want to use it on other worksheets in the workbook.
iii. Optional - Add the last cell in the range preceded by two periods
The next field in the dialog sets the scope for the name. this is a combo box. Use UP and DOWN ARROW to choose from between:
You can add a comment for the named cell or region, this is strictly for your personal reference and doesn’t affect the echo of the column or row title name
The last field references the cell name or range of selected cells you’re naming. You can leave this field alone.
Activate the OK button to save the name and close the dialog.
Save the workbook and the titles are permanently saved and will work on any computer.
If you have titles set to echo in JAWS, the titles will echo and you won’t lose the settings.
Brian - Windows 10 Pro, 64-Bit, Version 1903, Build 18362
The color of truth is grey.
~ André Gide