I'm no safety nut, otherwise I wouldn't be driving a Cobra to start with. I do think nerfing out and padding up a Cobra is a bit like putting outriggers and training wheels on a superbike though, but that's just me.
The headrests do make the roll bars much safer and if you like the look, it's a good way to go. One big issue with adding a roll bar to a finished car is getting the hole in the body for the support leg just right, but I imagine by now SPF would have a template available.
There was a heated debate a few years ago involving some very knowledgeable and respected forum heavyweights about the pros and cons of different seatbelt mounting points re: spinal compression, effectiveness in a rollover and "submarining".
The "safety threads" are interesting from an awareness perspective, but they don't necessarily mean you have to run out and make a bunch of changes to your car. It's all about acceptable risk and making informed choices, that's all.