Maybe it can be done by setting "slide up to All Above" and setting the height and visibility of all objects in the header to 0, based upon the expression suggested by Chris: if ( page() = 1, ..., .....)
Also, make sure that when you save the dw control, the header is set to 'autosize height' and the height = 0 (that's what Olan means when saying to make sure the header is all slided up, I think).
Another thing I can think of, is to define a main group based on "page()". Set the header not to show if it's not the first page of the group or something like that also thinking of the attribute of page-break on group (something like that).
At least I think there was some way of choosing not to show the header on other groups as the first one.
If I have some time, I'll try it out myself, but won't be today probably.
regards