The default number of characters allowed in a header or footer in native Excel is 255 characters. ExcelWriter needs to use 6 of these, so there is an upper limit of 249 characters, as long as all of those characters can be represented by ascii text.
Some characters that
have ASCII codes still force an internal conversion to unicode. Beside
the Euro character, the trademark (TM) character and a few others will
do the same, even if they are set by using the chr() function with the
ASCII code. If one character requires unicode representation, then the
entire header string will be converted. Since these are 2-byte
characters, only half as many characters can be represented in this
string, limiting your header or footer to 124 characters.
A resolution to this issue is currently under investigation.