Activate "Header" User Define on Sales Order

Below are guideline(s) to Activate User Define Column on Sales Order screen :

Step 1 : Go to System >> Administrator Menu >> User Define Caption

Step 2: Go to "Individual Screen Setting" >> choose "Sales Order" >> tick "Transaction User Define" (It depends on how much you would like to add) >> change the user define caption >> tick "Save Individual Screen Setting"

Step 3 : Sales >> Sales Order