It's used for sharing links easily. There are no SEO benefits.
Here in stackexchange, you can see h1 tags and hyperlink together, because it is easiest to copy paste when someone want to reference another question from SE. You can still copy paste from browser address bar, but this one, make copy paste faster.
Link with better anchor text is good practice for SEO.
Extra note: Most of the people don't do that, because Googlebot follow the link structure and crawl all the links. Suppose Google can crawl 500 URLs in one day, and you place header link, then your 1 crawl will be waste in header link, because Google already is crawling it. There are no official statements on how Google crawl links, so I can't add more value on this. Generally I don't do that, unless I have specific reason which does not related to SEO.