Column Names / Headers are missing in the PDF when the report is exported to PDF using 'Export to PDF' functionality. I did a search for you. One previous case from one customer had the similar issue. The issue was with reports which were being created by exporting the application zip file having the excel files in it by using the customized functionality. The reports which are created with OOTB functionality are working fine and there is no issue.
So, can you double check yours if there is any customized functionality causes the issue?