When you go to the Modern Theme Builder and enable the mobile preview option, you might notice that the header at the top of the page is not shown.
The Theme Builder displays your page in an iFrame in order for you to see live preview of your changes. By default, SharePoint hides certain parts of Modern pages when they are viewed in an iFrame, the header included. This is why you don't see the header in mobile preview.
You can publish your changes and view your site on a mobile device.