Hello @torbena,
I am sorry to know that the security features are not working for you. To narrow down to the issue and to understand that other plugins are not conflicting, could you take a backup of your site and then disable all other plugins except defender, apply security headers and then check if they work for you? If it does not work, could you please make a video grab of all the plugins disabled and then the security header check to understand more about it?
Another thing here could be about caching. Could you brief me a bit more about how are you caching your site? Do you have a plugin to cache your site? Are you also using object & static server cache and any other type of caching on the server?
If yes, could you please clear all the active caches on your server and then check if the same works?
I also see that you are currently using Microsoft-IIS/10.0 or a similar server. There is a chance that some server settings could be affecting the definition of security headers too. Could you also check with the hosting team if they have something on their end which could be affecting the settings? Looking forward to hearing from you on it.
Thank you,
Prathamesh Palve