Same here, i have a sky3ds and gateway, but every game on my sky3ds i own myself and dumped it myself, so i use my own headers to.
It's just the ease of having 1 cart in the console instead of taking 30+ games with me.
There's no proof that using a private header is completely safe. I don't know much about headers, but wouldn't it be possible for them to match the header with a specific game? Using the CD-key example, instead of multiple people using the same key, it'd be people using a Diablo 2 CD-key for Starcraft. They may not (or probably don't) have the ability to do that comparison now, since they haven't had the need to for that long, but I would imagine it'd be possible for them in the future.If they just use their own headers, they're fine.
I've used public headers, (I own every game i've ever downloaded), and haven't played online since begin february, and haven't been banned.
Is it possible to change your NNID?
I've been using the Metal Gear Solid header that was posted here for all of my games, but luckily I still have my copy of Shin Megami Tensei IV, so I'm gonna go ahead and use my own from now on. .cia files might be safe (presumably) now, but I imagine it'd be fairly easy for Nintendo to track any games that connected without a header, so that safety might not last for long.