From my experience, it happens if you have the scrollbar option set to "off" (whether or not icons are enabled). It was my impression that, ever since scrollbar width adjustment became possible, the indentation presents itself only to accommodate a scrollbar...which means: no scrollbar, no indentation.
I used to prefer having the indentation myself, but I've since gotten used to seeing menus as a single, flush list (and there's no way I'd enable that -- in my opinion -- garish scrollbar to bring the indentation back).
A note to the Sam Bald on the header seeming indistinguishable from the rest of the list: The new %Lt (list title) tag now allows you to select a different font for list titles (e.g. a bold one, if you so choose). It's too new to have been adopted by (m)any available themes (that I know of), but it does offer a way for menu headers to stand out in lieu of indentation.