interesting thread - check out this site for what the 1966 W111/112 coupe/cab options were:
Special equipment for the Fintails
you can see that the headrests were not yet the "internal" mount - and they were available for front AND rear
these "external" headrests are similar to the optional headrests on Porsche 356's (i know cause i have a 356 with the headrests!)
i rarely see these external headrests
i agree that i would want headrests for safety
i would be willing to forgo the stock look for the safety
also, i have seen 250SE's with the later headrests installed, so it's done
hope this helps
brad in seattle!