It cannot hurt anything, it's just kind of a rarely done, most people don't believe it could work or help. Ultra Copper has even been used on head gaskets, for decades. I haven't done that myself, but I've read of it and believe it after so many times reading it. I've used it twice on header gaskets, once in the early 80's(young and wanted to try it), once in the 90's with a header that had a slight flange leak. Both were not really necessary, the gasket of the last time was a low end stock style from some gasket kit(I should have thrown it away). So I've rarely needed it, but I would not hesitate to use it if the parts or gaskets worried me.
These TMH headers don't inspire my respect regarding fitment(not leaking) or ease of servicing. They are way too hard to work with, I liken them to any equal length shorty header. I helped a friend in the late 90's install both equal length shorties onto his 95 Mustang, and long tubes not long after that. The LT's were hard to put on as expected, we had to loosen the engine mounts and lift the engine a little. But they weren't that bad besides lifting the engine some. The equal length were worse, because they took up all the space next to the engine, everything was in the way. It looked like they'd go in without much work, but we ended up loosening the mounts and tilting the engine for each side. Thankfully both headers fit the heads right, and neither leaked.
For the trouble it takes to put the headers on, a little copper RTV would be a good added measure. IMO, anti-seize is very messy, RTV isn't bad at all.
