You can customize the header links from Dashboard > Theme > Header
To add a leaderos page link to your header, you can choose a preset from the Page Type field.
Otherwise, you can add a custom link to your header by selecting the Custom Page option and declaring a title with a link to the redirecting page. Also, you can choose an icon from the icon picker.
Don't forget to save the changes after adding a new header link by clicking the "Save Changes" button.

How can I add a dropdown to the Header?

You can drag and drop the header link that you want it to be on the dropdown section of the main Header link.