Letter headings separate the lexical entries into groups based on the first letter or letters of the data in the column that has the primary sort in Lexicon Edit. Typically, this should be the Headword, Citation Form or Lexeme Form column. If the primary sort is on any other column, you will not see any letter headings.
You can set the primary sort on the Headword, Citation Form or Lexeme Form column, and then set a secondary sort on another column such as the morph type or homograph number column. You can sort on a column that has data even if it is not configured for display in the Dictionary view, or contains data in a different writing system.
Letter headings are controlled primarily by the sort rules in Sorting tab. You get additional control over them with Custom ICU Sort rules.
Here are two examples:
Remove a parenthesis "(" that appears as a letter heading in Dictionary with a rule like this:
&[last tertiary ignorable] = '('
Remove the ligature Π(U+0152/U+0153) as a letter heading and correct the sort order with a custom ICU rule like this:
&oe<<œ<<<OE<<<Œ
The Dictionary-LetterHeading style defines how they look in Dictionary and in Reversal Indexes.
If the writing system you used for headwords does not include all the information needed to sort the words correctly, you can add another vernacular writing system and fill it in with a sort key for either the Lexeme Form or Citation Form fields. You will probably need to get more help.
Be aware that if you put sort keys in a custom field and sort on that custom field, there will not be any letter headings.