In a room and with speakers, you can feel confident that you are listening to the speakers themselves above 1kHz. Below that is the combined action of the room and speakers, where EQ is needed. But all headphones have somewhat unpredictable response due to leakage (up to around 300Hz) and ear/canal shape (above 1kHz). So you are never truly listening to just headphones themselves. The result is complicated and needs personal measurement and EQ across the whole range to work well.
As far as I understand Sonarworks their EQ scheme is incorrect and imposes too much correction to the target. The right way to EQ is to do it broadly and avoid small corrections, particularly beyond 1kHz. It will have no negative effects on sound. There are plenty of good automated solutions for speakers (Dirac, Trinnov, Neumann's MA-1, Genelec's GLM), but none for headphones, where manual adjustment is necessary.
Headphones themselves should be free of resonances, but this is hard to identify especially in the HF because of the above problems, which manifest when using head/ear simulator measurement rigs as well. Generally I would look at Dan Clark and Sennheiser headphones, and perhaps Audeze and Neumann. Independent measurements by Amir, oratory1990 and others help identify general trends and resonances in particular.
I prefer mixing on speakers and checking the result, especially for bass (where most rooms have problems), on headphones. I'm trying to transition to using headphones (Sennheiser HD800S) and checking the result on speakers from having to move around so much.