I checked and the issue was indeed exactly what you spotted : my WAMP installation has php output_buffering on, I turned it off and the header warning happened as on the distant server.
In case someone has the same issue with WAMP (the packaged software) simply add in your root .htaccess file to turn it off.
In case someone has the same issue with WAMP (the packaged software) simply add
Code:
php_flag "output_buffering" off