I was one of the few unlucky to suffer from major minoxidil sides. After a lot of research I concluded that I had significant systemic absoprtion, and minor headaches were part of the symptoms I had. You should watch out if they happen to you, cause side effects from system absorption of minoxidil are not funny at all, to say the least. You may want to check
this paper on what can happen in extreme cases:
Significant disfiguring changes occur as a result of bone, cartilage, and soft tissue hypertrophy, including the thickening of the skin, coarsening of facial features, and cutis verticis gyrata. [...] We present a patient with pseudoacromegaly that resulted from the long-term use of minoxidil at an unusually high dose.
I also got the thickening of the skin and coarsening of facial features. In my case, fortunately, they are slowly reversing. Been off of minoxidil for a little bit over 4 months now. The reason for these effects seems to be that minoxidil reportedly inhibits collagen synthesis. While this is a good thing on our scalps, as minoxidil thus inhibitis the formation of fibrotic collagen too, minoxidil spreading systemically is not desirable. The effect of collagen breakdown in your facial skin leads to wrinkles, dark eye circles, and premature facial skin aging.
Anyway, if you get headaches, reduce your dose. Your dose may not be too high per se, but more of it is absorbed into your body because of the derma rolling creating "channels" of very soft and new tissue which can be easily penetrated by minoxidil.
While the effects I described above are pretty scary (and, to be honest, are one of the worst things that can happen to your looks), they will not happen if your dose is not too high (in my case, I still don't know why the dose was too high, cause I stuck with the prescribed dose). Most people (and with most I mean more than 98%) never ever get these side effects. Reduce your dose by a little and observe your headaches. If you dont get any headaches, the minoxidil doesnt go systemic anymore. Don't discontinue minoxidil, just lower the dose. I will probably get on minoxidil again - though at much lower doses - when (and if) I recover fully from the side effects.