Wouldn't you be wearing a lion headdress for some kind of symbolic reason though? Like it's not a very practical piece of clothing. I would guess you either want to draw some kind of parallel between yourself and lions, or maybe remind people that you're strong enough to have killed a lion. I don't think there are any animals that take hunting trophies like that.

Heh. "What does it signify, this lion with a man's body?" - "ran out of space".

But that's also just ignoring the fact that humans seem inherently drawn to the fantastic, whether in religion or something else. There isn't really any reason to believe that wouldn't have existed 40k years ago, correct?