If you want to create a node in your navigation, probably at the top level, under which you might use a catalog based term-set or term-driven dynamic pages, it would be common not to have a url for that header.
Unfortunately this doesn't work for anonymous users of SharePoint. The menu item and all children under it will not be visible (Let me know if you don't have this problem but I know of one other person who has experienced the same problem).
Here is an example of my SPS demo navigation (still under development)
This shows that I have a top level menu for "Internet Sites" but it will not be visible to anonymous users in the navigation if I don't give it a URL (and all the items under it).
The Simple Link or Header option implies that I should be able to create a navigation header that doesn't require a URL.
I hope that MS will resolve this bug soon as I have a large number of header sections planned in my navigation hierarchy.