This is for sure on the roadmap, however to provide a bit of context.

The new pricing of securityheaders.com makes it impossible for us to integrate at the moment, it is simply not cost effective at all to run regular tests using their service. We are simply to cheap (API costs for the lowest paying plan is twice the cost of our price) :)

So as an alternative we are going to build our own security headers tests but that is going to take a bit of time to get working and get right.