When you use append_hf, the new headers are only used for messages that are sent!
Calling is_present_hf or a similar function will RETURN FALSE if you are looking for a header you added.

append_hf("Test: Test\r\n");
is_present_hf("Test"); <--- This will return FALSE

route {
  append_hf("Test: Test\r\n");
  t_on_failure(2);
}

failure_route[1] {
  is_present_hf("Test"); <--- This will return FALSE
}

So this should not be used for storing any kind of state. This is mentioned only briefly in "known limitations" section.