I have uploaded a new header photo. Why is it not appearing on all of the website pages?

The header image element is flexible on each website page. You have that degree of design freedom. 

That means you can upload the image you want to use as default header image in the website theme settings (Website menu > Theme > link '(Advanced) Theme Builder' > Header section). And that will be the image used as a default on all your website pages.

Unless you choose to use a different (custom) header image on a specific page (Website menu > Pages > edit page > tab 'Design options' > section 'Header Components').

So, if you notice some pages display a different header image than the default image, that means they are using a custom image. If you want those pages to use the default header image instead, you can switch to the default image in the Header Components section of the page design options.

Or you can click on the button 'Restore defaults & save' in the design options of that page (bottom left corner) to restore the entire page to the default theme settings, where the case. 

And you will need to restore the defaults in each such page, in edit mode.