I don't get any headshake or wandering but I have the dampener for higher speed deflections like hitting a root or square-edge.
If the wheel doesn't feel solid it could mean that there's not enuf weight up there. The rear compresses too much and relaxes the geometry, there's more weight towards the rear and the front-end feels light. Again that's a setup issue. Some bikes react much more to sag settings than others.

 

I second that coz after getting the right springs in mine I could dial out the compression damping quite a lot (which makes the front end soak up bumps much better) and made the front end feel a lot more stable on the rough stuff. I can believe that revalving will help this even more if you can afford it.

The only time I have ever thought a steering damper might be worthwhile is when I have gone over 90km/h - but even then it's not tank-slapping dangerous.

When I ride my brothers CRF450R, by contrast, I can see why you'd want a steering damper immediately. My KLX's front end is rock solid compared with his!

 

I think that the key and locking mechanism get in the way of a dampener for the 2009 bike.