I agree with Erika. Making the header part of the door or window will create more limitations than will be worth it.
For example, turning off windows/doors in 3D will also turn off your headers - thus you cannot get a 3D structural model. You would not be able to export just your structural model for an engineer (or import their model) either. And, scripting limits how the header can be modeled. There are times when you will have a beam span several openings, possibly with intermediate columns to reduce the beam size / deflection, and accomodating that within a window or door part could be challenging.
Getting the header to show up in section cuts / etc is all possible, though. If you were a manufactured home firm, for example, and had a very specific inventory of windows / doors and very specific assembly methods, then maybe combining headers into W/D would make sense for modeling speed. For a general design practice, I'd advise against it.
Cheers,
Karl
One of the forum moderators
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