I have experienced the same problem (absence of headers) after upgrading from 2.22 to 2.37. It is solved, but I don't know exactly what has solved. A few suggestions:
- cache as suggested by Mamba is important
- customized templates of 2.22 cannot be used in 2.37. Remove them from themes/yourtheme/modules/extcal; if you prefer customized templates, make new ones using the orignals in the 2.37 templates folder.
- start with new language files from the 2.37 download: don't use the 2.22 language files.

In my case, the headers returned.

SMEDrieben

I have cleared my cache by going into admin/maintenance...clean cache folders and I've done all 3 types. I do not run any custom templates either so I am at a loss here why this is still happening.