Headers/Footers reationship to Watermarks

I teach a class on Word 2007 and I ran across a question I could not answer
and was wondering if you could help me out..

We inserted Headers and Footers on a three page document. Then Inserted a
Watermark. But when we go back and tell Word that we want a different
Header and Footer (actually no header or footer on the first page), the
watermark disappears on the first page too. Are Headers, Footers and
Watermarks somehow related to one another?? I thought they would be
independent of each other???



Thanks for your help!!!