Typical Undead when reduced to 0 hit points or less, they are immediately destroyed.
Vampires are not typical undead, however; reducing a vampire’s hit points to 0 or lower incapacitates it but doesn’t always destroy it1. If reduced to 0 hit points in combat, it automatically assumes gaseous form and attempts to escape.
The magic item2 should allow you to act normally at 0 HP, meaning, you don't automatically assume gaseous form. However, the rule regarding all undead at 0 hit points, mean being destroyed. Undead don't have a negative hit point threshold. So acting normally in this regard, would simply mean destruction - that is what would normally happen if there was no automatic gaseous form taking place.
Undead3 are not subject to non-lethal damage so there is no benefit for them regarding not being staggered.
That headband is intended to mimic the effects of Ferocity, the ability of a boar.
1Fast Healing (Ex): A vampire heals 5 points of damage each round so long as it has at least 1 hit point. If reduced to 0 hit points in combat, it automatically assumes gaseous form and attempts to escape. It must reach its coffin home within 2 hours or be utterly destroyed. (It can travel up to nine miles in 2 hours.) Any additional damage dealt to a vampire forced into gaseous form has no effect. Once at rest in its coffin, a vampire is helpless. It regains 1 hit point after 1 hour, then is no longer helpless and resumes healing at the rate of 5 hit points per round.
2Headband of Ferocity: Wearer act normally at 0 to -9 hp, and is not staggered by nonlethal dmg and falls unconscious when nonlethal dmg exceeds hp by 10
3Not subject to critical hits, nonlethal damage, ability drain, or energy drain. Immune to damage to its physical ability scores (Strength, Dexterity, and Constitution), as well as to fatigue and exhaustion effects.Not at risk of death from massive damage, but when reduced to 0 hit points or less, it is immediately destroyed.