Grep over tramp fails to insert header in its output buffer. (I remember reporting this bug, but I didn't notice it was about tramp then; I tried with 'emacs -q' now).
For example, run from *scratch*, as 'M-x grep RET grep -nH -e xxx xxx RET':
-*- mode: grep; default-directory: "~/" -*-
Grep started at Thu Dec 12 14:33:28
grep -nH -e xxx xxx
grep: xxx: No such file or directory
Grep exited abnormally with code 2 at Thu Dec 12 14:33:28
But when run from a "tramped" buffer ('/sudo:root@localhost', but apparently true for any other case too) in the same way:
grep: xxx: No such file or directory
Grep exited abnormally with code 2 at Thu Dec 12 14:35:53
Version: GNU Emacs 24.3.50.1 (x86_64-unknown-linux-gnu, GTK+ Version 3.8.6) of 2013-12-04 on gonzo.localdomain