Does it really matter if the Marvel Cinematic Universe's version of the Scarlet Witch doesn't have a headband? Not really, but it's one of those things from the comics - way back from when Jack Kirby created the character - that many fans would love to see. As it turns out, Captain America: Civil War concept artist Andy Park did envision her with it, but it obviously didn't make it into the film.
The question now is whether or not we could see the headband incorporated into something like Avengers: Infinity War. It doesn't exactly serve a purpose, but Marvel always changes costumes between movies (it makes selling merchandise easier), so that wouldn't be too surprising. We'll have to wait and see, but feel free to share your thoughts on these cool new design in the usual place.