When a browser loads your page, the response carries instructions about how the content should be treated: whether the page may be embedded in a frame elsewhere, whether the browser should guess at content types, where scripts may legitimately be loaded from, how much referrer information to disclose when a visitor clicks away.
These instructions cost nothing to send and remove entire categories of browser-side risk when present. Their absence does not mean a site is vulnerable. It means one of the cheap defences is not deployed.
This module reports what is present and what is not, in measured terms. It does not tell you that you are at risk of anything, because a header check cannot establish that.