Until this recent event I always assumed that "report your heading" was to be taken literally just like "report your speed/Mach number".
This clearance was a little unusual and I can see why there may have been some confusion but I do not have the spare capacity to second guess for what reason the controller would want to know my heading to XXX.
If the guy then wants me to maintain that heading I would expect such phrases as "maintain this heading" or "make that a radar heading". I would then revert from "own navigation" to heading mode.
I hasten to add that I believe CAP 413 to be fairly clear on this subject and at the time I was surprised that my colleague could have interpreted it any other way.