The correct way to style the headers is to use the apply_headers_style method:
from StyleFrame import StyleFrame, Styler
sf = StyleFrame({'a': [1, 2], 'b': [3, 4]})
sf.apply_headers_style(Styler(font='Calibri'))
sf.to_excel().save()
This will style all the headers. A workaround if you want to style only the first column's header:
from StyleFrame import StyleFrame
sf = StyleFrame({'a': [1, 2], 'b': [3, 4]})
sf.columns[0].style.font = 'Calibri'
sf._has_custom_headers_style = True
sf.to_excel().save()