Most header files can't be "built" by make. They're listed as prerequisites so that if they change, then the source code that relies on them is rebuilt. For example, if you install security fix packages on your system and they modify one of the system headers you use, you may want to be sure all your code is rebuilt. These days the backward-compatibility of most base libraries is such that this is not really needed most of the time, I agree.
Also, if you're cross-compiling then your "system" header files are provided to you from the cross-target; these headers might be for an embedded system or similar, and may change (in non-backward-compatible ways) more often than a standard system.