The headrest mechanism did not seem to have any obvious lubricant. The parts are plastic or nylon and move very easily. Lack of lubrication was not a factor in the failures on my two seats. So I would not lubricate it. Lubrication would probably just run the risk of a mess on your upholstery and rugs.
As someone else commented earlier in the thread, try to avoid stressing the headrest mechanism by not running the motor after it reaches one end of its travel or the other, and maybe backing it off once you get there.
Personally, as I commented above, it looks to me as if the piece that I replaced breaks because of mishandling when people move the headrest manually. The sort of damage I encountered did not happen from running the motor. (It was like that when I bought the car, so I admit I am surmising.) And for that matter, try to set it where you want it and leave it. If there are multiple drivers, maybe there is not much you can do except to caution the others not to move the headrests up or down by hand, ever!
And if you are fortunate enough to have the seat position memory, use it. The headrest will move to where it is supposed to be and stop.
On the other hand, I assume other types of failures could occur.
As for the rest of the seat and its many mechanisms, I have no experience with failures so I will suggest that others comment who might be more knowledgeable in that area. But in general, i would not lubricate anything that the service manual dod not call for lubricating. You would be liely to use too much, or the wrong stuff, and/or make a mess.

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DavidB29
1992 300E with ASR
35 years of Diesels until now!