Headaches can be a sign of cortisol deficiency.  My son used to suffer quite badly when taking his medication on a twice daily basis.  When his hydrocortisone was altered to thrice daily (without an increase in dose) this seemed to suit him better.   Too high a dose of fludrocortisone can also cause high blood pressure and therefore headaches.   It is worth having the blood tests, just to put your mind at ease!