The less utility will try to open the file(s) listed as operands on the command line. There is no file called /header on your system. What you tried to do whatwas to give the interactive command for searching for the string header, but this can't be done that way from the command line.
Any interactive less command can be given as an initial command for less to execute by prefixing it with + on the command line. So you could have done
wget --help | less '+/header' See man less | less '+/ \+ ' for more info about that.
This happens to be equivalent to the other way of specifying a search pattern on the command line, -p pattern, but is more generic as adding an initial + applies to all interactive commands, while -p is specifically for specifying a search term.
wget --help | less -p 'header'