Why do I feel a response to certain "heat" in my scalp?

Sounds like an excellent question for traditional Chinese medicine, in which “heat” and its connections is a major concept.

Sounds like a cardiovascular reaction like the burning in the sinus/nose.
Are you allergic to any foods?? Maybe a reaction to cabbage or mustard family of plant. Horseradish is in the same family.

I have a friend who is horribly allergic to horseradish, and many commercially available brands of “wasabi” are made from horseradish.

This sounds like “referred sensation”, where a strong stimulus in one part of the body is experienced as a sensation elsewhere.

Here’s an article

Much of Chinese food is prepared with MSG which can trigger lots of reactions in people similar to what you describe is happening to you.

Scroll down to the chart in this link that lists them.