I'm sure it depends upon the reviewer, but I can tell you that I have looked at hundreds of resumes and have never noticed whether the headings on the cover letter and resume match. I generally don't even bother to read cover letters unless the resume indicates that the candidate may be a good match. In any event, the formatting of the person's name and address is much less important than the content, and I don't think I would necessarily expect a resume and cover letter to be formatted identically.
I do, however, take a hard look at things that might indicate sloppy work, such as failure to proofread, horrible spelling or grammar, or wildly inconsistent structure (such as making some, but not all, headings bold). Your resume is the most important professional document that you will ever create, and it's important to sweat the details.