IDC is the cheapest way to connect a wire to a connector pin which is why it's used. The downside is the resistance it can create between the two connection points. Under heavy load (such as GI) the resistance creates heat, and as it heats it degrades the connection even further resulting in even more heat and on and on and on.
The reason you should replace the header at the same time is the tin plating on the header will have been degraded because of all of the heat generated during the above. Once the plating is degraded it no longer conducts as well as it should (higher resistance) and you end up in a similar situation as above, or the plating is so far gone the connection still will not work. Basically if you're replacing the pins, you do the header at the same time to ensure the connection is back to factory spec and to avoid having the same issue down the road. (if you only replace the pins you risk damaging the new pins / connector you just replaced)
Hope that helps!
D