although you did mention you had no bad effect from head zapping
Except for the "white vision effect" when you put the electrodes near the eyes or the eyes nerves, no i haven't had any bad side effects.
However, understand that i used only 2 electrodes on the head area.
If you use too many electrodes and/or if the electrodes or the skin is too wet and/or if the output voltage of your device is too high and if the allowed intensity is too high, you can probably damage the interior of your brain or the interior of your body.
That's why a zapper with a potentiometer (a button which allows you to increase/decrease the amount of current) is usefull.(Parazapper, please correct me if i'm wrong, i am a beginner in electronics).