Oh... you have a CX. LOL. I think I know what your problem is.

The o2 sensor on a CX, VX, HX is really really close to the head. It's not a heated o2 sensor. It's a 1-wire sensor. On your aftermarket header, the o2 sensor bung is much farther away, thus, receives less heat. You'll notice the location of your catalytic converter is different for a header than it was on your stock manifold, too.

On other Hondas that have the 02 bung on the lower part of the car and the catalytic converter underneath the engine, you'll find that they're all 3 and 4 wire o2 sensors. This is because they have a heater circuit that warms up the o2 sensor so it can work. They're called "heated oxygen sensors".

What you need to do if you've moved your o2 sensor is to get one for a DX, and tap your engine harness in 3 locations to get 2 grounds and a + feed from the ECU. I don't think the CX ECU even has a powered 02 heater circuit, so the easier solution would be to move the o2 sensor to a closer location to the head, or return your car back to stock. Aftermarket headerS (meaning multiple brands) aren't intended to be used on models that have converters mounted at the front of the car. You can work around it, but it's a hack.

I had to sort this out on my CX because I DX'ed everything... motor/intake/exhaust/ecu/injectors ...and kept the CX engine wiring harness. It didn't have wires for the different o2 sensor that I needed to use.