The Solution

The shop page is only there for WooCommerce to use as a menu item. The page itself is then dynamically generated as an archive, so the post options panel does not apply. You can set a default header under Appearance  > Header which is used on archives, including the shop.

Have you seen Elementor?

You can build almost any Obox theme with Elementor!
With a powerful, fast page builder, Elementor is the best way to get your site online with as little effort as possible.