Not particularly. Headlamps are widely used in industry, by emergency services, and military with no serious health concerns that I've heard of.
If the battery pack is working normally, the only real concerns might come from excessive pressure on the head, or weight. Realistically, never a problem.
If the pack fails (highly unlikely), and fails in a dangerous manner (extremely unlikely), then having it near any part of your body might be bad. However, the incredibly remote chance of any injury is indicated by how widely Headlamps are used. Pretty much any item in everyday life could be dangerous to you in some unlikely circumstance!