Yes you can skip the heads
This is incorrect. I ran into this issue while helping my brother level pup several months ago. We Ground of Valored him up to 40 and when he tried to get the soul soother head, the only option presented to him was the Valoredge frame (which was the only frame he hadn't unlocked yet)
So, yes, you have to get ALL frames before you get the option for the WHM head. And you have to be at least level 40 (10 levels after the final frame) in order to get the option for the extra mage heads.
Until then, the Harlequin will heal you when you just start out (once you skill up it's magic to 12, that is). It would totally make sense for your first unlocked frame at level 10 to be the Stormwaker, which will be able to heal you even better than Harlequin. Then you can just full-time Stormwaker and ignore the Sharpshot and Valoredge frames you get until you get to 40 and unlock the Soulsoother head.
And even after you DO, the Stormwaker head still has its uses as it can cast more defensive enhancing spells on you than the Soulsoother (phalanx and stoneskin, specifically) , which can be more effective in some situations.
Edited, Dec 10th 2012 2:29am by CireXF