I actually had my custom header vanish a few days ago, as well, and I use Coraline. It was especially weird because there was still a little radio button next to where that custom header used to be (I have several custom headers uploaded), but no image. Looking in my media library, I saw that the image was still there. I've also used the other custom headers as featured headers on certain pages or for certain posts, and they were fine.
It was also strange that not only did the header disappear, but nothing replaced it. In addition to the default headers provided by the theme, I have a few others uploaded, but none of them replaced it.
I even tried viewing in different browsers, still nothing there. I finally just uploaded it again (which I had to do since the only option offered is to upload a new header, not to choose one from a url). I then shrugged and went on with my day.
It is a peculiar sort of bug, though, if, as it seems, it's affecting more than one theme, but apparently not very many. (Although some people may have done what I did & just not reported it because once the header was re-uploaded, it stayed.)