For this use case it is important to notice that studio is necessary. 

Within the xml code in the sale.report_saleorder_document there is a style that prevents the table to repeat the header through all document. 

This is how it shows the second page of a document if the style is set. 

For this to be changed you can create an Xpath for this style to be removed. It is important to note that it is not recommended to alter the original view of a document, only the Studio created view. 

Then click on the Report menu: 

and enter sale.report_saleorder_document  report

After this, click on the "Edit Sources" to open the XML editor

After this, in the xpath created by Studio copy the following xpath

<data>

<xpath expr="//table/thead" position="attributes">

    <attribute name="style"/>

</xpath>

</data>

With this little fix, your documents should look like this from the second page: