HTTP/2.0 does not only compress headers, it also keeps a context of headers that were already sent. So if you want to include a specific header with the same value in multiple requests (like, say, a cookie), it won't actually be re-sent on the wire. The other side will know that the value hasn't changed.
If the headers are big enough, then you may need multiple packets to transmit the request.
Also, some TCP stacks (or an extension option?) will allow data in the first packet, so you don't have to wait for the handshake. Perhaps this doesn't work if the data doesn't fit in a single packet?
Aside from the other responses to this comments, this goes towards making HTTP2 requests cheap which enables a lot of other optimizations that were antipatterns under HTTP/1.1
