I’ve had many headaches, some of which respond exactly like you’d expect if the source of pain was receptors in the scalp, others of which do not.

The meninges and periosteum, which I mentioned also have pain receptors which can be involved in headaches, are very much not the same thing as the scalp.

The idea that the brain doesn't have pain receptors implies that headaches are just hallucinated pain is just completely nonsense.