You can’t set up the same Header Settings for all Documents of the Style Guide in one place.
But if you create a new Menu Item, the Header settings will be taken over from the previous Menu item in the Navigation.
If you need design settings from an Item that is not last in the Menu, you can quickly change the order of the Navigation Items by drag and drop after opening the Menu. Afterwards you can add the new Navigation item and reorder them back.
Click on the gear icon next to the top menu to open the Navigation menu as seen in the image below: