Hi Kyle and welcome to the forum.
I tried out what you described and you are quite right. It's a little messy and an useful message would be better.
However if you try the same thing for another tempate line - say a detail line - there does not seem to be a problem.
So my guess is that this is something to do with the particular special characteristics of the Page Header template. A page header, pretty much by definition, would not be expected to have a secondary template related to it no matter how the template was generated. On the other hand a detail template does allow for other template types to utilise the same line for selection purposes - a factor that has been used by many to define Append templates to deal with extracting data from awkward reports on a regular basis.
Of course you may know of this potential already - I have know way of knowing whether you do or not.
I think it would make sense for you to send a note to Datawatch about the problem you have found so that it can be trapped in a future release. However for practical purposes the easiest solution would be simply to ensure that you don't try to create a new template using a report line already used as part of a Page Header template. That way you should be able to avoid any annoying crashes in day to day use of the current release.
Have fun! V10 offers a lot of features to play with.