Thanks. You're seeing exactly what I'm seeing with the IGPU. Idle or not your IGPU is at full clock with headless.
My screenshots were with 0x0300220d; the IGPU idles at 0.2 Ghz and HWSensors picks up 0.02~0.05W. It peaks at 10.74W under full load (LuxMark OpenCL stress test). Because the headless connector doesn't allow the IGPU to be used for anything other than HEVC and ME, I can't directly compare load power. Vega has hardware HEVC enabled, so playback's not touching the IGPU at all in either case for me.
This all sounds as with headless the IGPU is stuck at full clock but is either on or completely off, while when it's fully enabled it's stepping its clocks and voltages but always on. Which is also kind of weird since if the IGPU is off it shouldn't have a clock speed at all.
Were you running 10.14.4 or 10.14.5 when you took that screenshot? I see your CPU is stepping properly.