When I rode a 2008 WR-250X, I conducted an experiment:
I first installed an FMF programmer and an FMF Q4 muffler, but kept the stock header pipe.
I rode the bike long enough to feel the difference and how it ran.
I then rode home and immediately exchanged the stock header for an FMF Megabomb header - the stock header was still warm while doing this.
I hopped back on the bike and felt the difference, and that was the Megabomb gave a noticeable increase in midrange power while still allowing the bike to actually hit the same high revs as it did before.
I think that a small amount of actual torque at high revs was traded in order to get the gain in the middle revs, but since the bike would still pull up into those high revs with some force, it was masked pretty well.
All-in-all, the FMF headers (both Powerbomb and Megabomb) do give you something for your money, and I still use them to this day.
Whether or not you believe they are worth the money will ultimately be up to you.
For example, I wouldn't want to ride a WR-250R or WR-250X without a fuel programmer installed (I tried that back-to-back, too), but there are riders who claim that these are a waste of money and/or not a requirement.