If you switch tabs (on the left hand side, not Chrome tabs) in Slash, the HTTP headers disappear. So, you have to set them again and again. Fix it so that the headers are kept around. In fact, would be great to make them more visible by perhaps putting them in small fonts at the top of the query editor window.
This https://github.com/dgraph-io/graphql-service/pull/234 should fix the issue.
This has been fixed: Slash GraphQL Release August 19 2020
We are actually picking up this item in the next sprint as well, allowing you to add multiple headers and see their values at all times