When you have set a 'Head of department' via department settings:

                                    HR -> Data management -> Departments

This will not reflect on the employee's core details page. You must ensure that you make the change to the employee's profile so that it reflects to the correct head of department you want assigned to them. You can do this by going to the employee's file, then under Core details click on 'change'. This is where you will be able to assign the correct head of department.

Once the change is made you can select a change reason and date at the bottom of the page then just hit Submit.