The very page you link to says:
This doesn't mean you should use an ellipsis whenever an action
displays another window—only when additional information is required
to perform the action. For example, the commands About, Advanced,
Help, Options, Properties, and Settings must display another window
when clicked, but don't require additional information from the user.
Therefore they don't need ellipses.
ie - in your example: Header and Footer is a button that does what it says - it brings up the header and footer information. It doesn't need additional information on order to bring up that dialog - it just does it - so it doesn't need an ellipsis.
The Mac OS X Human Interface Guidelines state (And I've not included all the text here)
Use an ellipsis in the name of a button or menu item when the
Requires specific input from the user.
You can think
of commands of this type as needing the answer to a specific question
(such as "Find what?") before executing.
Is performed by the user in a separate window or dialog.
To see why
such commands must include an ellipsis, consider that the absence of
an ellipsis implies that the application performs the action for the
user. For example, if the Customize Toolbar command does not include
an ellipsis, it implies that there is only one way to customize the
toolbar and the user has no choice in the matter.
Always displays an alert that warns the user of a potentially
dangerous outcome and offers an alternative.
For example, Restart, Shut Down, and Log Out all use an ellipsis
because they always display an alert that asks the user for
confirmation and allows the user to cancel the action. Note that Close
does not have an ellipsis because it displays an alert only in certain
circumstances (specifically, only when the document or file being
closed has unsaved changes).