First of all Brainwave Generator is not the highest quality entrainment device. But the cause of your headache could be that you're brain is adjusting to sending high energy soundwaves through your neurology.
Think of it like waves in the ocean. A bunch of small waves tends not to be as powerful as one big wave. You are sending big waves through your ears and your nervous system needs to adapt to handle that kind of energy.
Maybe limit your listening time in the beginning and gradually build up to a 30min or 1hour long session. Over listening with too low of frequencies can lead to some serious overwhelm. Be easy on yourself.
