I ran into this problem a few months ago and never figured out "why". However, a few days ago I saw a discussion that clued me in. Anyway, the HTML Toolbar (the thinger that allows you to do paging, searching, exporting, etc. in your reports) is responsible for making floating headers work in SQL Reporting Services 2005. So guess what will happen if you do URL Access with a command like rc:Toolbar=False? Well, if there's no toobar, there are no floating headers, either!
Glad I finally understand why this happened.