Random Header?

Ok, so I upgraded to 3.5.1 (WP version 2.9.2) and I really like the look of the fading headers. But I seems to be missing something.

When my page first loads I get a header (let's call it H1) , I wait the prescribed amount of time and the header changes to H2, wait and the header changes once again to H3 - all is good. However, if I change to a new page, header H1 appears again followed by H2 and H3. Basically the same header pattern is followed each time I go to my home page or I switch pages.

Options set: 10 seconds between rotation, 2 second fade-in fade-out, tried with both preload on and off.

Is this the way it is supposed to work? Or am I missing something.