You can still inject custom HTML inside the header. But then you’d need to dig deeper and find the exact element that holds the header label. Here’s an example https://jsfiddle.net/j1q7c2er/1/
When it comes to sorting, if it is enabled, it shows in all of the columns. However, you can block sorting for a given column using the beforeColumnSort
hook (ref: https://handsontable.com/docs/javascript-data-grid/api/hooks/#beforecolumnsort).