First, I've installed pure GS 3.1 r646, w/o any plugins. The only change I made - enabled GSDEBUG in gsconfig.php.
Second, I've created simple plugin, with 1 line of code:

<?php
# get correct id for plugin
$thisfile = basename(__FILE__, ".php");

# register plugin
register_plugin(
    $thisfile, //Plugin id
    'Someplugin',     //Plugin name
    '0.1',         //Plugin version
    'Author Name',  //Plugin author (nickname: Zorato)
    'http://www.example.com/', //author website
    'Nothing special here', //Plugin description
    'Settings', //page type - on which admin tab to display
    'somefunction'  //main function (administration)
);

add_action('settings-sidebar','createSideMenu',array($thisfile,'Some Plugin'));

function somefunction(){
    error_reporting(E_ALL); //for debugging purposes
    header('Location: settings.php');
}
?>

With PHP 5.3.8 and PHP 5.3.9 (IMHO, PHP 5.3+) runs like clockwork.
The problem is, that I use header() function within my plugins on hosting with PHP 5.2.17 (IMHO, with any PHP >5.2 and <5.3)
I've got this:

Any ideas?
As a temporary solution I use redirect($url) function from basic.php file, but it causes double page refresh and  it is not very comfortable to work like that.
I sniffed around, but didn't find any functions in load.php, common.php or template_functions.php that may work differently in PHP 5.3 and PHP 5.2